I've fallen in love with compression socks (and the arm compression sleeves, too). I always walk in the cooler weather, and they're great for giving you that extra warmth you need without the bulk of pants or full second layers on top. Personally, my legs were much less cramped/sore at the end of the day, too, than when I wore more traditional socks. And like Falcon said, they help keep down the swelling in your lower legs/feet.
Yes, they're tight to put on (the full socks). But you can also buy a calf compression sleeve that goes from your ankle to your knee. Those are much easier to get on/off, and of course you wear whatever sock you favor on your foot. But if your feet swell a lot, those won't be as effective as the full sock (if that's an issue).
I've walked with the full sock in warmer weather, cool weather and lots of rain/puddles, and I've never had a problem with blisters. If you get the ones that are made for running/exercising, they're made of wicking material, so that's why.
Melanie