Compression comes in two forms. Digital file compression, such as MP3s. It discards information that for portable, uncritical listening at low levels won't be disturbing. However, today, when you can hold gigabits of data on a USB drive the size of a fingernail, there's no longer any need for file compression.
The other compression is dynamic compression. This also is no longer necessary for most digital recordings. 24bit provides a 144 dB dynamic rangethat goes from just barely audible to painfully loud and hearing damage. There's no reason for music recordings to be compressed, because, for example, the range of sounds you'll hear from a symphony orchestra, from the softest solo instrument to the loudest passages with all the brass blaring and the percussion going full force, spans about 60 dB. Compression kills the expressive dynamics that musicians painstakingly put into their music. It takes away the transient spikes that give percussion its punch.
How it sounds is difficult to describe, because it doesn't produce any gross distortion that would make you cringe.
Here's a link that has both a visual and audio example of dynamic compression
, plus a couple of additional links.