Yes the Suunto Vyper Air has a compass in it. It works fairly well for a computerized compass, but it only stays on screen for a limited time before defaulting back to your bottom timer/gage. You also access it with the same function button as the bookmark feature, but with a long press. I find that I end up with a bunch of random meaningless bookmarks when I go to review the dive on the computer, because I was trying to look at the compass and didnt hold the button long enough. I am not by any means a "great" navigator, but I would point you toward something like this:
Genesis Compass with Rubber Wrist Strap (I like the idea of having it seperate in case your battery dies, at least you dont lose ALL your instruments!)
While were on the subject of instruments, I have had a few problems with the air integration feature of this computer. Ive had it drop the link from the transmitter a few times, it happened to me the first time I took it in the water, the retailer gave me a brand new one no questions asked. The second one worked perfectly for 55 or 60 dives and now I am having connectivity problems again, I have a brass SPG on my kit so the air integration is just nice to have (and it will compute your air time remaining as well as your SAC which is sweet) but I'm trying to get into the habbit having my dives restricted by time, not air. My last comment is with regard to the RBGM algorithm the Suunto computers use. In 100% RGBM, my vyper will give me a ceiling some times 10 minutes before my buddys computer and I will have to hang out 10-15 feet above him to stay out of deco. Also, if I remember correctly, if you DO get into deco with the vyper, it starts you at 5 minutes PLUS your 3 minute safety stop. This can be a real pain if you start your asscent to the surface with 700-1000 psi and then clip that deco envelope...Bang...5 extra minutes you didnt plan for. If you switch the computer over to the 50% RGBM model its better, but still conservative.
This is my first non-rental computer, and just my $0.02 about it! By all means do your research and get whats right for you! Im sure I gave you more than you really needed or cared to know, but I hope this helped!