The choice is entirely dependent on what you need the compass for. If you need to have a precise reading on your compass, for example, if you are searching for a sunken wreck and you know that it is in a specific direction, then you will want an analog device. An analog compass will remain accurate, no matter how you are using it. An analog compass will keep you going in the correct direction.
If you want something which is more than a compass, then you should go for a digital device. Often, digital devices come as part of something bigger, and even if they don’t, they often are shipped with more than just a compass. First, decide where you are going to dive, and how you are going to five, and then choose the compass which fits your needs.