It's difficult sometimes to realize a wind shift if you don't have a good stationary point of reference on nearby land. A compass can help you quickly identify that you are sailing a slightly different course due to a change in the wind direction. This might mean that it's time to tack. It can also help make sure that you are sailing the proper angles and are not footing or pinching too much by watching your tacking angles (although it would take a lot of experience to really understand what these angles are in different wind strengths).