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I seriously recommend buying online. The compasses they have in local stores is usually garbage. A compass is a once in a lifetime purchase if you get a good one.

I would go to amazon.com or search froogle.com and compare product offerings. Stay away from sellers who sell direct from china or hong kong though as these products often are better suited for a dollar store. Sometimes you can get an amazing deal that way but often there is a defect (as in many dollar store items).