Some of my thoughts on compression in brief (I could go on for hours)....
1. I do believe compression works for recovery. Personally, I notice significantly less swelling in my feet and ankles if I wear compression post-exercise, no matter if the workout was moderate or major. That makes a difference the next day and so on because compression helps get the blood flowing and shuttle out all the "gunk," aka bodily fluids, that could cause DOMS (muscle soreness) and other delays in recovery. I also have circulation issues to begin with, so my feet/lower legs love compression.
2. I don't think compression will work for enhancing performance significantly, i.e. don't expect compression to be the key to setting new PRs, etc. However, I think it's worth putting on during exercise/competition for the reasons Andy stated (enhanced perception, muscle "comfort," etc) and beyond. There is some research to show that it can help physiological mechanisms and even enhance efficiency, but more so compression increases comfort for a lot of people. Even if you can't measure the data to show a faster race or better circulation, if it's more comfortable for you, then why not wear it?! Plus, wearing compression during exercise can begin the process of faster recovery--you don't have to wait until after the workout or race to throw them on.
3. I have some skepticism about the "grade" and mmHG of commercial compression garments, and socks in particular. In most studies I read, they use some heavy-duty compression, the real medical-grade stuff, and I'm not sure that all athletic compression companies offer the same level of compression. Not to mention, some of these studies get custom-fit compression for the subjects, which makes benefts more likely (we are not a one-size-fits-all world!).
Compression is measured in mmHG, which implies how much pressure it exerts. The best kind of lower-leg compression is graded (differnt pressures), with mmHG that ranges from 20-40 mmHG, which promotes the upward flow of fluids to prevent stagnation. For any compression used in the athletic arena, it's safe to say anything below 15 mmHG is probably pointless. My Zoot stuff has some numbers: says it's 18-30 mmHG, which is pretty decent and personally I think it's enough to get some results recovery-wise. I don't know about the other brands.
4. Compression for body parts beyond the lower legs is a little sketchy. If you're on a budget, stick to the socks, which help shuttle out the by-products of working out, help the calf-muscle pumps works efficiently. Plus, they're great for traveling, for those overcoming injury, for people who work on their feet a lot, and helpful in clinical situations (i.e. DVT -- Serena Williams anyone?), and so on...On the flip side, compression tops might help with posture ever-so-slightly and shorts or leggings might help with muscle response (studies show it can increase jump height but do triathletes care about that?), while any extra garment might keep you warmer and more comfortable, but overall, I don't think those garments will do much to help circulation and blood flow or enhance recovery like the socks do. The socks are meant to flush the gunk up and out, so I don't get how that works with compression on other areas, not to mention compression sleeves (?). If it's a comfort thing or about compressing the muscle to "keep everything in place," like Andy said, that's one thing, but that might be where it ends. Hm.
*If you want to anything more about compression or have any specific questions for me, let me know, I'd be happy to discuss the subject further.
PS - Because I might have gotten your hopes up about a potential reward for telling me about your compression habits or lack thereof, I feel bad and am therefore going to do a little giveaway on here in the coming days in which a male and female will benefit... I just have to think of a good contest.