Unlike the marker, which marks a certain spot, the compass is part of the interface and points towards a place in the environment.
When you move, the marker stays with the world; the compass moves with you. The marker displays the target's absolute position while the compass shows its position relative to you.
Continuing the example of Anno from above, the compass is a big arrow which points to the currently active marker. This arrow, however, is only visible when the original marker is not on the screen. As the player approaches the marker, the compass arrow fades out.
This isn't the only instance where marker and compass are closely intertwined. Quite a few games use a marker for important objects. However, you want the player to be aware of their existence and location -- even when they aren't on the screen. This is where the compass comes in.
A quite classical example of a compass would be Call of Duty 4: Modern Warfare. It features a pretty simplistic compass which displays the cardinal points as well as the direction of the next objective. The compass changes as the player turns, so if the objective lies in the center, then it's straight ahead of the player.
Another compass-only system is the teammate locator in Gears of War. Here, if a teammate goes down, a circle pops up on the player's HUD. The circle shows in which direction the wounded buddy is, relative to the player's position.
Yet another compass style, although one that's more indirect, is the Jewel Detector of Far Cry 2. This gadget doesn't use a direct arrow to point to the hidden jewel suitcases. Instead, it features a green light that starts to flash when the player gets close to one of these cases, increasing in frequency as the distance decreases. Additionally, the light stays green if the player is looking directly at the position of these cases.
This roundabout way of doing things helps make the search for jewel cases a lot more fun, as you actually have to go look for them and try to triangulate their position. Notably, the detector is not sensible to differences in altitude: I've found myself standing in an empty room wondering where the treasure is, while the jewel case sat on the roof. Of course, a lot of first person shooters also use a compass system to point a player under fire towards his attacker.
And finally the last example is another odd one: The sword beam from Shadow of the Colossus. It is also noteworthy because the game manages to include a helpful interface without breaking immersion, and while reinforcing the exploration and discovery themes of the game.
As mentioned before, immersed navigation tools are a part of the game environment. Unlike discrete tools which are general interfaces used throughout the game, immersed tools have specific applications in the individual environments. These tools also don't stand out as much as discrete ones and generally aren't perceived as a part of the interface.
This is because they are built out of the components (geometry, textures, lights, characters...) that are also used to build the environment itself, which makes them the responsibility of the level designer. It also means that most of them won't be consciously used by the player. Instead, they serve as subtle instruments by which to guide the player but with this unobtrusiveness comes the danger that some players may just overlook them.
The fact that they're an immersed part of the level also makes them a lot harder to classify. This is why I'm grouping them based on their purpose. I'll explain each purpose and then give a few examples on how to achieve the desired effect with different components.