Compression to promote circulation has been around for quite some time, since it's been used for a while in the medical industry to prevent blood clots in patients. It's a slightly newer phenomenon in athletics though, and the first athlete to popularize compression was Paula Radcliffe with her Oxysox that she wore during her world record marathon in London (among other races). Lately, compression wear's popularity has surged, and everyone from Chris Solinsky to that mid-pack triathlete who lives down the street from you is rocking compression gear.
There are two main types of compression gear: active gear and recovery gear. Both are intended to improve circulation and promote bloodflow, either to improve performance or speed recovery. There are also different types of compression. CW-X became known for targeted support, similar to kinesio taping techniques, in order to support muscles and decrease muscle oscillation. Other companies (Skins, for example) use a gradient where the distal end is more compressive than the proximal end, which is supposed to return blood back to the heart more quickly.