Yep, distance indicators would be VERY helpful, maybe with a toggle switch so it doesn't clutter the compass too much.
Also, please include this system for other players in multiplayer, it's difficult to keep track where everybody is when you are playing with 8 people. ;)
A fading system could also be nice, where items in the compass slowly get more transparant (up to 50% or something). After 1 or 2 kilometers it can just stay at 50%, it's just 'far away'. ;)
3D Compass under a key could also be a very valid option, sort of the 3d map in Battlefield.