The compression stuff is that way so that you get a tight fight which helps draw sweat away from your skin (capilliary action). There is nothing wrong with the looser fitting stuff, but I would be surprised if it was equally as good at wicking sweat off your skin.
Personally, I prefer the compression shirts. A tight fit means a little less bulk (even if only slightly less) when I layer up and that no cold air or snow will be able to make its way between my skin and the base layer (no matter how bad I bust).
Unfortunately, the compression stuff isn't flattering unless you're pretty skinny!