Cheap regulated transformers don't supply a steady 9v - it fluctuates as the incoming voltage fluctuates, which in turn affects the headroom of your compressor, in extreme circumstances you will see the led glow and dim. Unregulated ones are worse, the voltage fluctuates as the current drawn changes too.
You want a power supply that is a conditioner as well as transformer - extra electronics in the box ensure a steady 9v, rather than just a fraction of what is coming in.
Dunlop's DC Brick is one, there are plenty of others [edit - Godlyke's Power All is probably the cheapest option]. There is one (I can't remember the name, sorry) that is actually a charger and battery, similar to the power supplies recommended for high end hi-fi and file-servers. Not seen it over here, but it's abut $350 in the states