You don't need a knee brace unless you have a knee injury. All braces do is help to minimalize play in your knee after an injury (tendons don't always heal as tight aka scar tissue).
I wouldn't bother with purchasing compression shorts. But if you are looking for something to protect your thighs, look into padded compression shorts.
Low-profile and they have the hips and tailbone padded. More useful to snowboarders imo because of the way they fall.
A friend of mine runs 'em, and he said they are just ok. Just help absorb the blow a little.
My recommendation, pain is the best teacher. Sack up.