I generally don't need a compass to navigate, but I have both console and wrist mount. So, I frequently have one on me, but almost never actually use it. I use my surroundings instead: current direction, contour of the bottom, movement of soft corals, ripples in the sand, angle of the sun, visual on the wreck, etc. Only once in a while do I have to use a compass, which of course means that will be the one time I left it behind. For that reason, I think a compass on the console is the best option. It's always there and the one time you really need it, it'll be there. My favorite is the Oceanic Dax Max Pro Plus with the optional compass, a nice compact easy to read unit.
One point on the compass, if you don't have some idea of where you are, it won't be nearly as useful. Most people only think to get out the compass AFTER their disoriented. If you don't have your initial bearings before you get in the water, then all the compass will do is tell you were North is. While this may be helpful information, if you didn't notice which way you were swimming when you left the boat, it still may not tell you where the boat is.
I know an instructor that takes students on a circular dive and brings them right back to the starting point. Then with the dive boat directly overhead asks everyone to point in the direction of the boat. Everyone's looking around and pointing in different directions, not realizing they're directly under the boat. Hilarious.