Personally I like the SC-4 compressor, but you're right, it does not catch the transients (fast attack peaks). In that way it is much like "old school" hardware compressors and has a lot of creative potential, but not good if you want to stop the peaks going too high.
The built in compressor effect works pretty well, but it is quirky and takes a bit of getting used to. This compressor is a "look ahead" compressor - it looks ahead for peaks before they happen, and adjusts the gain in advance. Thus it does catch all of the peaks, no matter how fast they occur. Details can be found in the manual:
http://manual.audacityteam.org/o/man/compressor.html
The "Hard Limiter" can be useful, but you need to be careful with it. How it works is to "chop off" the tops of the highest peaks, and then has an option to add back a reduced version (the "residual") so as to reduce the amount of distortion. It can work quite well on snare drum and similar types of sound. Like "tape saturation" it will limit the peaks and add a controlled amount of distortion. If you want to avoid distortion, don't use this effect.
The difference between a "compressor" and a "limiter" is the time scale. A compressor will adjust the "gain" (amplification) gradually so as to reduce the dynamic range, whereas a limiter will adjust the gain very rapidly. In extreme cases (such as the "Hard limiter" and the "Leveler" effect, the gain is adjusted instantaneously. The down side of "instantaneous" gain adjustment is that it creates distortion. (I strongly don't recommend using the "Leveler" as a compressor effect - it creates far too much distortion - can be useful as a distortion effect though.)
Both compressors and limiters tend to have "character". Although they are all doing pretty much the same thing, the "sound" of the effect can vary greatly from one effect to another. Compressors and limiters are quite a long way on the "arty" side of the art/science divide
The "Limiter (2)" plug-in here should be quite easy to work with:
http://wiki.audacityteam.org/wiki/Nyqui ... er_.282.29
Installation instructions:
http://wiki.audacityteam.org/wiki/Downl ... g_Plug-ins
Unlike "Hard Limiter", this limiter will produce very little distortion.
A popular compressor is "Chris's dynamic compressor" (available here:
http://theaudacitytopodcast.com/chriss- ... -audacity/)
This too is quite quirky, but has the big selling point (but it's free

) that it works much like the compressors they use on radio stations. It reduces the dynamic range quite effectively without sounding like an "effect".