One thing to try to do try different settings with the same track. Keep recording the same thing with different attack, release, ratio, thresholds, etc.
It's kind of funky and takes time, but depending on what you want to hear from a dynamic range it can definately smooth our your tracks.
The way I look at it is if I was a totally professional performer and played the exact same thing every night, then compression would probably not be as important to me (although, they would be the first ones to make sure their recorded tracks were compress properly

).
There are plenty of post on this site and others that give you some solid starting points. And since your mentioned the band... everything will require different compression settings: vocal, guitar, bass, drum, etc.
Dont' rush it. Compression is one of the main things that seperate the men from the boys. But it can also keep you in the amature leagues if you're not careful.