The most important feature in a compass is its overall quality. You want a compass that will provided precise data in harsh conditions and is unlikely to fail.
Beyond overall build quality of a compass, there are a few special features you might want in your compass:
Rotating Bezel
This isn't so much as special feature as it is necessary
A compass with a fixed bezel has limited utility in the field
You need a rotating bezel to easily plot and follow an azimuth
Luminous Dials
These really come in handy at night
Some military models come with tiny vials of radioactive tritium that are very easy to read at night
Adjustable Declination
This makes grid to magnetic conversions effortless
In a survival situation, you may forget to convert your azimuth or forget how. With built in declination, you have one less thing to think about.
Magnifying Glass
Makes maps so much easier to read, especially for old eyes or with poor lighting
Non Navigation uses:
Use to start fire
Use to view splinters and really small stuff
Mirror
Use for sighting long range targets
Non Navigation uses:
Use for signaling
View parts of body you can't otherwise see
Use to fix hair before rescue
Global Bearing
Allows you to use your compass south of the equator
Allows for easier off angle needle movement
Waterproof
Most quality compasses are waterproof
Some aren't and should be avoided
Non-Fluid vs Fluid Filled
Fluid dampening slows and steadies the compass and is considered a must by most
Low quality liquid filled compasses will eventually develop a permanent bubble
Repeated exposure to subfreezing and warm temperatures and/or high elevations may result in a leak
Some compasses do not use fluid to dampen the needle
These have both a lower and higher temperature operating range
Some use copper or magnetic dampening to steady the needle
Some needles just float around freely
Can be difficult or painful waiting for an undampened needle to settle on a reading
Many survivalists prefer non-fluid compasses for extremely cold environments
Ironically, some air-filled compasses will fog up if humid and freeze solid if moisture in the compass housing freezes
Unless you are operating in temperature below -30°F or at very high altitude, then fluid filled is likely preferred
Lens, Prism or Magnifying Bubble
Some compasses use a Lens, Prism or Magnifying Bubble to better view angles on the compass dial
Real plus when viewing through sites
Real plus for old Scoutmasters that need a little help seeing small printed numbers
Large Size
Larger compasses are easier to hold with gloves on
Smaller compasses are of course easier to store away when not in use
Floats
Excellent feature for canoe or kayak use
Clinometer
Use to measure Slope angles (how steep is that hill?)
Use to measure height of object
Finding latitude from the Pole Star Polaris at night or latitude from the mid-day sun.