Compressed bales are fine if the hay itself is fine. It's what I use, but I have also had to return some really crappy bales in the past. Ones full of dust, weeds, clumps of brown hay. I've also had some bales that the hay was overly dry and just crumbled.
So the quality can vary and can be more difficult to tell what kind of hay you're getting because the bale is tightly compressed and sometimes even has a wrap on it so you aren't able to see what you're getting. To be sure of the quality, these days after I buy the bale at the feed store, I'll take it out to my car and pop it open to get a look at the hay inside to see if it's ok before I drive away from the store. That way if it's bad, I can then just take it back in for a replacement or refund(though do make sure your store will allow this before buying).
But you can still have these same problems with uncompressed bales. I've had my share of crappy regular bales too. So it's really just knowing what good hay is so you know what you're looking out for to have and what to avoid, and getting a look at the inside of one of the bales before you leave the place you're getting it from. Or if ordering it online, buy from a reputable place that will offer refunds if the hay is crappy. Otherwise you just have to take a chance and eat the cost if the hay isn't good.
The best way to buy more affordable baled hay is through a feed store or reputable farmer. Or sometimes a nicer horse stable with good quality horse hay, may be willing to sell some bales. If you can find any of these options and get good horse quality(never been wet, no mold, no noxious weeds) grass hay, then certainly it's always preferable to save some money.
