I think getting one that has the LED light indicators showing what your signal is doing really helps to understand how the knobs actually work.
Absolutely. Compression can be subtle and hard to hear at first. If the OP is looking to learn about it, then a device with a meter is super useful.
…along those lines…
@pcake is there a chance you have access to an interface and a DAW with compression plugins? You could start your exploration there and focus on what is happening with headphones. You could also record parallel signals and see how the waveforms change based on the compression settings. Heck, you could record one dry track and then process copies of it though a variety of compression devices and settings in parallel as an experiment.