Wal-mart usually has at least the Coleman variety.
I would caution you, however... if you're going backcountry, a compass becomes part of your life-support equipment... how cheap do you really wanna go?
I prefer the U.S. military "Lensatic" compass... if you don't get the tritium variety, they run about $35 bucks new, and $15 used... Durable, accurate and simple... if you get a used one, make sure the dial moves smoothly and doesn't stick when you turn.
They'll last you forever, and they're hard to destroy...
"A bad carpenter always blames his tools!"
- Grandpa Boris
Make war, not love! It's safer!