If you want to take some nice pictures when you're out doing stuff, and don't want to make a big production of it, the Canon S95 is a great buy right now (less than $300 on Amazon). It's recently-discontinued, and replaced by the S100, but for the money it's really hard to beat. It's got a sensor that's a bit larger than most compact cameras, and has lots of manual control if you really want to learn about photography.
Will you get better pictures with a $500 DSLR? Yeah, no question. Will the DSLR be more responsive? Oh, yes. But if the size of the thing is an issue, you'll get great results with the S95. And you won't be out tons of dough, so you can get the DSLR when you need it.
I've got a Canon G12, which is a similar camera. A little bit longer zoom, a fantastic flip-out screen and a viewfinder, and some other goodies, but it is larger.
Now I want a DSLR, for better creative control, better low-light performance, and better action shots. But I won't ditch the G12. I don't always want to stand out as "that guy" with the bigass camera.
Anyway, check out the S95. Others have mentioned it, but I wanted to emphasize it. Back when I was learning about cameras, I wondered why anyone would pay $420 (as it was at the time) for 3.8x zoom and 10 megapixels when I could get 20x zoom and 14 megapixels for the same price. The thing with lots of zoom is, you need to reduce the sensor size to allow those long focal length lenses to be a reasonable size. I borrowed a Canon "superzoom" for a while, and was dismayed by the image quality. Putting fewer megapixels onto a larger sensor is way better. That, and they put an excellent bit of glass into the S95.