The three things that make an SLR worthwhile for me…
Proper manual focus – With an SLR you can take the photo you want to take, though it might take a bit more fiddling to get really into it.
Proper telephoto zoom lenses – I went on safari in October and my photos would have been crap if I hadn't had a 200mm lens.
Very fast accurate autofocus and fast capture – compacts always seemed to focus and fire way way after I needed them to.
I have a very entry level Nikon D40x, I've never really played with the manual exposure settings much, and it still takes way better photos, and is a lot better to use than my previous 4 digital compacts (Nikon/Sony). Yes it's a lot bigger, but as SLRs go it's not too bad.