I have a watch with built-in digital compass and one of those old-style great big, luminescent wrist dive compasses. Used to use the wrist compass for work all the time.
Nowadays I use either of the compasses on occasion, usually when we swim to a dive site from shore & will be wanting to navigate there & back efficiently. Even when you're swimming on the surface the compass reduces the need to be sticking your head up to take your bearings.
This may sound funny, but the big old analog compass is great when you're chasing a fish. You can use it to take a bearing on him when he darts away, and it makes finding him way easier, especially if he's gone out of sight. The digital compass is useless for this, though. It doesn't refresh its readings fast enough to get a bearing on a speedy fish.