I've used a distressor before, and not many things can come close to it for versatility and the ability to get so many different sounds in one box. You'd pretty much have to buy about 4 or 5 different comps to get the same amount of tonal ranges.
That said, there are a lot of very useful inexpensive comps that do what they do really well, but to really take advantage of some killer stuff for cheap, you need to be willing to buy used. Moreso than with any other type of gear, in my opinion. For transparent stuff, my favorite is Aphex (Compellor, Dominator, whatever). If you want to make drums slap, slam, and pump, you should really check out the Valley People Dynamite, or the JBL/UREI 7110, both used. Symetrix even has a whole range of cheap, used stuff that all sounds surprizingly good and very useful.
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