I can't stand using a 'various artists' folder either.
If the compilation is presented by someone, I'll use their name as an artist. For example, I have a bunch of blues compilations presented by Martin Scorsese. I list his name on the artist folder; and within, I categorize each compilation by release date.
If there is no one's name to use, I just list the album compilation name in place of an artist name. So, if the compilation is called 'Big Shiny Tunes vol. 3', the artist folder will be called 'Big Shiny Tunes,' and all the volumes (or just the one) will go in there by date. I do the same for movie soundtracks that are compilations of different artists/bands. The only exception is if a soundtrack composer's name is well known enough for me to remember it, I'll use their name. For example, Hans Zimmer & Danny Elfman get their own artist folders; but the Aladdin Soundtrack is listed as such as an artist folder (because I would never remember the name Alan Menken if I was looking to play this CD).
ps: i like organizing my stuff. a few months back I colour coordinated all my CDs, DVDs, and books... and now I have a hard time finding anything... but my shelves look soooo damn pretty. lol