Depends what it's for...
Any compass used by SCUBA divers are good; they are calibrated for local magnetic deviation (within reason); a bit expensive (around $90 or so from a dive shop), but they do get you home (always important underwater!).
I have seen the cheap ones that junkstores and car auto accesories places often have - they can be out as much as 90 degrees or more!
So... dive shop, or camping store or similar I think!
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