Compression makes the sound more dense. It doesn't affect just volume, but also affects the spectrum and RMS. It can do harm as well as please your ears depending on the input signal and parameters.
Here's my mastering suite in its order:
1. An EQ for each kind of instruments (e.g. eq for bassdrums, eq for hihats, eq for synth bass, eq for strings, etc.).
2. Then I link some of them to FX plugins such as filters, phasers, etc.
3. Then everything is put together into one mastering plugin, harmonics exciter or stereo imaging for example. I use iZotope Ozone at this stage.
4. Then I compress the entire master signal with a compressor plugin. If having troubles with params, I recommend using
BetaBugs SimpleSqueeze. There's just only one knob in it! And you don't need even to move it because standard value gives enough level of compression.
5. Then I give the master signal it's final shape with master EQ.
6. And finally I link the master EQ to the limiter. It makes your sound even more dense and it prevents from mastering clips. I highly recommend using
W1 Limiter at this stage together with SimpleSqueeze at stage 4.
7. That's not all. I link the limiter to the Inspector to see the resulting spectrum. But this one is for monitoring only, it doesn't affect the stream.
I can't give you an example link to a track which has passed all these stages as I've recently remastered my OpenMPT tracks but I haven't put them to my musicpage yet.