By 'seperate compartment' I'll assume you're referring to first class compartments with a side corridor through the carriage. The 442s which operated Waterloo-Weymouth trains had first class compartments but they were withdrawn in February 2007
So, for your first class ticket you get a seat that reclines (just a bit), a powerpoint to plug your laptop in, individual reading lights and bit of peace and quiet. Remember though that on 444s (the units that operate Waterloo-Weymouth services) the first class section's in the middle of the train so you may be disturbed by people walking through. Finally, there's no free food or drink included.
Save your money and go standard class.