arm warmers are the same thing as the compression type stuff. Usually they are a little thicker as they add a bit of a light knapp to the back to increase warmth as they are for cold weather. The underarmor type shirts can be had in light and heavy as well.
They'd feel the same but the arm warmers give you the option of peeling them off and tucking them away once your body heats up or you hit the big hills and need to stay cool. I tried some arm warmers once instead of getting dedicated cold weather gear and it was sort oif annoying to me due to the fit. I don't use them and opt for a light jacket/vest shell instead.
I do like the knee warmers though as my knees feel creaky and cold in low temps. There is little fat or skin insulation to protect them.