The Silva Metro is probably the best option for casual use. Generic button compasses will do in a pinch, but they tend to be quite unreliable. Casio and Suunto make a range of outdoorsy watches with an electronic compass feature, but they look a bit silly.

http://silva.se/product/compasses/compasses-outdoor/compass-...

Satellite dishes can be a very useful directional reference in many urban environments. Here in the UK the overwhelming majority of dishes are aimed at the Astra constellation, so they indicate an azimuth of rougly 155°.

My Pebble Time watch (sadly, no longer in business) has a compass app that I've used a couple of times. Maybe a smartwatch or phone could do the trick?

https://apps.getpebble.com/en_US/application/540f7cafbc27450...

Also satellite dishes point roughly south if you're in the northern hemisphere. (They point towards geostationary satellites which have to be over the equator.) This is a more useful tip in some places than others.

If all you want is north-ish, south-ish, etc., one of the little compasses that attach to a zipper is fine. There are also compass watches. Suunto makes probably the most popular compasses for orienteering but that would be overkill for that application.