The Silva Companion 609 compass is an inexpensive but good-quality compass that is suitable for a coat-pocket or bugout bag.
It is 2 inches in diameter and about 1/4 inch thick.
There is a picture at http://www.silvacompass.com/609.html .
It does not have a base-plate for use with maps, which is why it is so compact and inexpensive. People who are into orienteering should buy a fancier compass.
You can add a lanyard through the hole in the case. (Twenty-pound-test black cotton fishing line works fine. The knots may unravel if you use newfangled plastic fishing line.)
It has at least three advantages compared to some other compasses that I have seen. The needle is more strongly magnetized than cheaper compasses. So it settles more quickly after movement. This compass is thinner than the equivalent compass from Brunton and the lanyard attachment hole is stronger than the hole on the Brunton.
Dick's Sporting Goods sells these for $7.99 each as of April 2004. The shelf tag may say the price is $6.99 but they are $7.99 at the register. (I pointed out the mistake and got mine for $6.99 but I don't guarantee that you will get the same deal.)
The Silva Compass website at http://www.silvacompass.com/ lists other dealers, including online dealers.