If you suspect a problem with the engine (e.g. down on power), it is helpful to do a leakdown test even if compression checks out OK. For example, my Miata has good compression in each cylinder (#1 171, #2 186, #3 172, #4 190), but has horrible leakdown numbers (#1 32%, #2 15%, #3 18%, #4 6%). The engine (with 132k miles on it) is about 12-18% down on power compared with fresh crate engines from Mazda (as measured on a dynomometer).

So, if you suspect an engine problem in your car, an inexpensive compression test can determine if there is something very wrong, but a more thorough leakdown test will give you a better indication of engine health. Also, leakdown tests can help you determine where the problem lies. If air can be heard in the intake or exhaust, the leak is in the valves and can be fixed with a valve job. If the leak is into the crankcase, the rings are likely bad and the engine needs to be overhauled.