Apologies in advance for the long post, I'll break it into two parts for convenience. Hope it helps!
====== Compressors ======
It's not a silly concern at all, but it IS a bit of give and take. Compressors smooth out the peaks in your signal, which is great (particularly for a good slap/pop sound), but it also lowers your overall volume a bit.
Check it out:
Uncompressed signal
Compressed signal
The more you compress your signal, the more gain you'll need to make up for the volume difference. Unfortunately, turning up gain will also amplify any noise coming from anything you have before the compressor, not just distortion pedals.
It'll really depend on what order your effects are in and what settings you like. I'd suggest finding sounds you like with each individual pedal, then add one effect at a time. You might find that you'll have to adjust settings based on how everything interacts. I've even found that I need to adjust settings on pedals depending on what bass I use. It might get a little tedious, but you'll be pretty happy in the long run.
There's some great compressor info here:
http://www.ovnilab.com/faq.shtml. "Why are compressors so noisy" (9th down), is particularly appropriate to this discussion.
====== Multi-effects ======
As far as multi-effects go, I'm not really up on the new stuff. I have an older Digitech BP-8 that has a tube preamp built in and sounds pretty good. I've also owned a Zoom 506 (my first pedal!

) and still have a Korg Toneworks AX1B laying around.
If I were shopping right now, I would definitely want to check out the Zoom B9.1ut (which also has a tube preamp... and a FOUR way expression pedal!). Boss stuff has a great reputation and GT-10B looks pretty hot. There's also the Rocktron Utopia stuff, which I know zilch about. lol For more compact multi-effects, the Boss ME-50B/ME-20B and Zoom B2.1u would all be units I'd want to take a look at.
Most of the Boss stuff has demo videos, Bass Player TV has demos/reviews of some gear, Harmony-Central is always a great resourse for finding info and make sure to hit up Youtube to see what they've got. Another idea would be to hit up Ebay for deals on good used gear and your local pawn shops might even have a hidden gem here and there.
A last (related) sidenote: I really dig Christian McBride's electric sound, and his gear list on his site includes the ME-50B. In particular, check out his sound on The Philadelphia Experiment's track "Ain't It The Truth." Oh
man, that nice subtle (and BEEFY) envelope sound alone would almost be worth the price of the whole unit!!! Just mentioning it has made me go back and listen to the song twice.

lol
5sg.