I have a pair of the far too expensive 'skins' branded compression leggings... well actually I have two... one 'normal' pair, and a pair of their travel/recovery tights. I think the compression aids recovery
slightly if I wear them after exercise and whilst sleeping, but I certainly don't think there's much of a difference between the uber expensive types and the bargain basement ones - I have a compression/base layer set from Aldi (shorts + T shirt) which cost me £9.99 and they're just as good
If you want to give compression clothing a try, have a look at somwhere like startfitness who stock their own brand 'MoreMile' running kit/clothing which is cheap as chips and as good as anything else on the market