Casio offers an electronic compass in their "Pathfinder" series, but not in any of the G-Shock models. I'm tough on a watch and I prefer the G-Shock, so I'll rely on a compass for directional aid.
I have a Casio G-Shock "Riseman." It has a barometer and barometric altimeter as well as a thermometer. I like it a lot. The G-Shock series are virtually indestructable; the innards are isolated from the case by soft polymer cushions. The Riseman is water resistant to 20 Bars (about 650 feet).
But as important as the sensors, I think, is the solar power system and radio time signal receiver. This means the watch battery will charge when the watch is exposed to light (if the battery is fully charged, the watch will work for six months in the dark), and the time will be synchronized to various atomic clocks, depending on where you are in the world, so the watch will always be correct!
I have two of Casio's G-Shock "Tough Solar" "Wave Ceptor" watches, and I can't imagine being happy with any other type.
Keep in mind that barometric alimeters must be calibrated each time you use them (and it's handy to calibrate them any time you're able to while you're using them). Since the altitude is measured using barometric pressure, any changes in pressure will change the barometer reading.
If you know the altitude of your home, you can check/calibrate the altimeter before you leave the house. If you're hiking and have a topo map of the area, you can set it with the altitude readings from the map. If the weather is steady, it will remain accurate. If the weather is changing (barometric pressure rising or falling), you'll need to calibrate the meter as often as you're able in order to get accurate readings.
If you want to see a really neat compass/barometer/altimeter watch, check out the Tissot T-Touch! It's an analog watch and the hands become the compass needle! The sapphire crystal is also a touch control pad. This has to be the coolest watch I've seen:
http://www.youtube.com/watch?v=pyXc58A5slE
Stay sharp,
desmobob