Essentially what it does is reduce the difference between the high and low dynamics in your playing, which for some people is a good thing, and others not so.
Best advice I could give is to try some out in a shop and see if you like the sound of it - be sure to go through similar equipment to what you normally use though as compressors can behave a lot differently with different equipment.
You may also want to have a play in Ableton (seeing as you've just got that) using compression, so you can hear what it does.
A fairly good analogy of what compression is:
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This guy sounds like Kermit the Frog, but worth a look:
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More specific to guitar playing:
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And another:
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