Compression gear is the one piece of recovery equipment that I cannot live without. I love the stuff. Its ugly, but wow, I really love it.
I first used compression socks in 2010, when I started developing shin splits from training for my first HIM. I somehow (probably with internet research) stumbled upon CEP brand socks. It turns out, these are some of the best socks I've ever used.
I don't actually run in them. I haven't tried. I'm very particular about my socks when I run. I keep trying new kinds and I keep going back to my trusty Wright socks. Maybe someday I'll run with the CEP socks. Not sure I'd do it during a triathlon, though. These suckers are TIGHT and the thought of wrestling them on while wet in transition doesn't sound appealing (or fast).
I also love to wear my CEP socks while skiing, usually under my wool ski socks. Upon perusing the interwebs for cheap CEP socks today, I discovered that they sell ski socks. So I have some in pink/black, which matches my new Vokyl Aura skis :)
Zoots are made from pretty thick material and are also very tight. I like wearing these as recovery sleeves during the summer, so I can wear sandals instead of bulky shoes to cover up the socks. I've also ran a few races in the sleeves, mostly for added leg warmth, not for compression. I wore them 2 weeks ago and they didn't bother me, so I may be wearing them more often.
Random aside: if you see someone on a flight wearing this stuff, chances are, they're a tri-dork. Flying back to Denver after IMTX 70.3 and IMTX, there were so many people wearing this stuff. It was very cool and also very amusing.
The key is to get the RECOVERY tights and not the running compression tights. The recovery ones are much tighter. And much better. They are, however, nearly impossible to put on easily or quietly. I have scarred the poor kitties for life multiple times with my grunting, trying to get these damn things on after a hard workout.
I typically wear the socks on Mondays (my rest day) and the afternoon/evening after my hard Saturday/Sunday workouts. I've only slept in them once. I don't know why, there's just something about sleeping with compression socks that makes me nervous. I will wear the tights after a super hard workout. And I generally save the sleeves for when I need extra warmth when racing or for extra recovery in the summer when I don't want to wear socks. They are expensive, but I use them all the time, so to me the expense is worth it.