I've gotten it only a couple times, but each time I try to follow it, I die in the harder areas. What does it evetually lead me to, and would I be able to find whatever it is without having the compass, just by searching every room of the castle?
The compass leads you to a secret room that contains 2 chests. The chests usually contain blueprints or stat upgrades.
From my experience they were good blueprints (armor I was not finding in the area normally).
You will not be able to locate the room without the compass.
edit: user2339067 says he was able to get to the room without the compass, so it might be possible. I have yet to find/confirm this information independently with any other online resources.