JP,
It's not as black-and-white as all that. Record companies issue special mixes for broadcasting to make the music 'stand out' on the airwaves. Broadcasters again add loads of compression.
Listen to the BBC World Service - they invented the Optimod processor ages ago. It makes finding them on your MW radio quite easy - no matter how bad the signal, you can easily make out what the voices are saying - much better than most other radio stations. On the downside, music gets annoying, especially classical stuff. It did add lots of character to John Peel's programme, where he would inflict 30 minutes of the Jesus & Mary Chain (noise for noise's sake) on unsuspecting listeners worldwide.
Depending on what the engineer and the producer decide during the recording process, they may or may not add compression. During mastering, especially for a compilation of different recordings, they will either compare the levels and adjust accordingly (costs time and money) or compress the hell out of it (cheap).