I'm a big mulcher myself, and I've always wondered about that 'compost as mulch' suggestion too. If I were to do that, it would grow it's own weeds, which is what I want to avoid and a big reason why I mulch in the first place. To me, compost 'mulch' is more like top or side dressing, like I do with manure. The compost nutrients would filter down too, in that sense.
I really like straw as it's cheap, it goes a long way, and when it breaks down it adds a really wonderful quality to the soil. I've added many straw bales to my garden over the last ten years or so. Having said that though, adding straw mulch to crops that really like warmth, say corn and beans, it does slow them down I find. Peas love it, lettuce too (gotta watch the slugs though) and I always mulch my rhubarb plants. I stopped with my tomatoes and peppers because they just didn't seem to do as well. There is a really fine bagged straw that is sold in farm supply stores, it's really soft to the touch, and it is dreamy to mulch with. And makes a bit more of a tight fit together, so no weeds can weasel their way through. Bit more pricey though, but very nice looking.
What can I say, I love mulching!