I just figured out how to turn off the Compass, it increases Immersion by 100% because you truly start NEEDING Roads and Signs and you dont automaticly know where the Enemys are coming from.
In order to turn your compass off go to Settings then Display and turn off your HUD.
Note: this will also make it so you can't see your Healthbar as well but i like it better this way anyway.
I also would like to point out how many people were Begging for Bethesda to give the players this Option.
Completely agree - disabling the compass greatly improves enjoyment of the game.
However, you don't need to turn off the HUD's health/magicka/stamina bars, which disappear anyways unless you are taking damage. Simply open SkyrimPrefs.ini and change "bShowCompass=1" to "bShowCompass=0"
Before I disabled the compass, I would often chase after any new black location icon that popped up. Now I find that exploration is much more enjoyable, and you can find your way to various locations by consulting your map before embarking and identifying landmarks and visual cues in the landscape such as rivers, hills, terrain, forts, etc. Huge improvement, especially when combined with http://steamcommunity.com/sharedfiles/filedetails/?id=13685 and http://steamcommunity.com/sharedfiles/filedetails/?id=13056
I would caution anyone trying this not to do this for the very first playthrough at least until after you find High Hrothgar. (Would have taken me ages to find it the very first time without the compass.)
They think they're 'elite' and 'a real hardcoe RPGer' because they play without their compass like the cool kids. Sigh ...
It's not about being "elite" or super hardcoe - it simply makes the game a lot more fun, at least for me.