Although the medium in which we grow our orchids is often referred to as compost, it usually comprises items not found in garden or house-plant compost so the term can be confusing, especially to the novice.
Most orchids are sold potted in fir bark. Various brands are available to the orchidist (do not use bark sold for mulching as this contains too much resin for orchid roots to tolerate) in small, medium and large grades i.e. size of the individual pieces. In general orchids with fine roots such as Miltonia, Oncidium, Odontoglossum etc. prefer finer bark to Cattleyas, Phalaenopsis and other larger-rooted orchids which will be much happier in a medium grade bark. Vandas, on the other hand, often thrive in large grade bark if they are potted.
Some orchids such as Masdevallias and Pleurothallids prefer a medium such as sphagnum moss which holds more moisture. Do not pack it tightly, however, as this will cause the roots to rot if the moss is always wet.
A 'new' medium, compressed coconut husk chips, is proving successful for many growers, in particular with Dendrobium, Masdevallia, Phragmmipedium, Paphiopedilum etc. The compressed coconut husk chips must be re-hydrated before use and it is a good idea to soak them in rainwater for three days, changing the water daily. Bob & Lynn Wellenstein have written a very good article about the use of this product on their Ladyslipper Orchids website.
Perlite, both coarse and fine is often incorporated into the mix - although it does have a tendency to 'float' to the top of the pot, thus defeating the object somewhat.