Alright if you right click or whatever, there will be an option for compilation. I would assume that would help you and kind of explain what to do/sort it out automatically, but I don't actually use that so I am not sure how it works/ works with the ipod. I usually do:
Artist: Compilation Title
Song: Tune Y/ Artist X
Also, on the all the same artist thing; just highlight all the songs, right click, then type in the Artist/ Album name if they are not there. If they are there, put a check in the box next to those fields. It is a little buggy.
When I switched to mac I had a lot of problems with and basically hated itunes. I got those all sorted now and love it, so keep the questions coming if you need.
oh, re-read, I guess if it is a sorting problem, click on album then click on artist bar at the top and that might sort it out. Also, the little eye ball looking thing in the right bottom corner, click that and try it out. I love that mode. No idea on Last.fm