There are tons of good jazz compilations... It's just you need to know what to look for. There's a definite purpose for compilation CDs. People who are used to rock music, where everything is based on "hits" look at them as replacements for having to buy a bunch of separate CDs just to get the "good songs". But that isn't the purpose... Jazz music isn't "hit based" like rock and pop music is. Compilations are a way to sample a wide range of different styles and artists without having to go to the expense of buying hundreds of CDs. If you find something you like on a comp, the idea isn't that now you have the good song by that artist... It's to go out and explore that artist more deeply, by getting the full albums.
You can't go wrong with CDs like Moanin', Bitches Brew, Giant Steps or Saxophone Collosus, but that's just a tiny sliver of Jazz. It seems that a lot of folks on the internet are very familiar with late 50s/early 60s jazz, but that isn't the whole story by any means. There was a whole world of Jazz that existed before Bird beeped his first bop.
There's no better way to get an overview of the history of Jazz than to get the granddaddy of all Jazz compilations-- the
Smithsonian Collection of Classic Jazz. It's the best chosen overview ever assembled. Unfortunately, it's difficult to find except as a set, so it requires a pretty large investment all at once, but it's worth every penny. There is another box set called
Jazz Singers that is just as comprehensive in that area.
If you need to collect a series one CD at a time for financial reasons, I'd recommend the CDs associated with
Ken Burns' Jazz program. The documentary itself was godawful, but the CDs are quite well chosen. Sony/Columbia has a series of big band jazz and small group comps that have amazing stuff on them from the thirties and forties but they're out of print. There's a solid series on Rhino that fills in many of the gaps in the Ken Burns series, most notably West Coast Jazz, but unfortunately, this appears to be out of print too.
I would highly recommend picking up the Smithsonian Collection of Jazz and Jazz Singers boxes if you can afford it, or start accumulating the Ken Burns series... get all of the CDs in the set, whether you think you might like all of the different styles or not. This will give you an excellent overview of the history of Jazz. That's the purpose of comps.
See ya
Steve