I'd suggest firing up a word processor and comparing a similar text with different fonts. Some fonts are wider, some are higher, etc. A very wide font is obviously undesirable on a small display.

Having said that, I'm using the not-very-compact Century Gothic because I like the delicate appearance and good readability:


EDIT:
Here are a few candidates I would consider. All fonts are in the same size. First four are nice, the last one would be VERY compact :D