previous post, I discussed the possible benefits of kinesiology tape. Though kinesiology tape may be useful, evidence for its effectiveness is scant. Compression gear, on the other hand, does have more evidence of effectiveness.
Compression gear is also a more economical option than kinesiology tapes like KT Tape and Rocktape. While its more expensive upfront, compression gear is an investment you can use for years rather than sticking on tape that will be thrown away in a few days.
Compression socks have been prescribed by doctors for years to improve circulation, mainly to reduce ankle swelling, but they're also a useful tool for athletes.
Unfortunately, compression gear has not been shown to increase performance. It has, however, been shown to aid recovery and decrease perceived muscle soreness. Plus, compression gear looks cool.
I generally wear compression calf sleeves for hard workouts and races, then wear compression socks afterward. The compression gear seems to help decrease my muscle soreness in the following days.
While you can buy compression gear online, I'd recommend going to a specialty athletic store, getting measured and trying on the gear.
Here's some further reading on compression gear and kinesiology tape:
Compression Socks and Kinesio Tape
The Verdict Behind 5 Popular Running Tools