Ok for the benefit of the thread, rather than being an objectionable knob (Migmog) just because I posted my thoughts

Symptoms thus far:
Some dubious compression readings. Mark and Kevins questions wrt WOT as yet unanswered...
Some persistent mayo in the filler cap. Again unanswered questions wrt oil brand and journey length and presence of water on dipstick.
Steam from exhaust until fully warmed up. Not unusual given the inevitable moisture content in air and the fact that water is a by product of burning petroleum products... And again with no mention of journey length.
Crap fuel economy whilst otherwise running fine. It's a 3.2, probably an auto to boot. Be lucky to get much over 250-280 miles from a tank, especially as I suspect from the steam and mayo symptoms that the car doesn't do many decent length runs and is never warmed up... The poor economy is only exacerbated by ecu controlled fuel enrichment when cold.
Coolant loss. No mention of volume being lost, or over what time period... There are several items before headgasket in the list of things to check. Any water on the plugs if left over night? Any significant pressure on the top hose? Pressure test the system and rule out the usual suspects.
Ulap, answer the above points and consider the following...
Have the fans been tested as per the guide? If not why not and if so, any outstanding faults identified and fixed?
Coolant system pressure tested for leaks, assuming not obvious, and again any identified faults fixed?
Compression test redone following Mark and Kevins advice re unbolting the throttle body?
Oil changed for GM and the car taken for a decent run of say 50 miles.
If having done ALL of that lot, it still uses coolant and produces mayo, then I might conceded that you need to pull the heads off to investigate further. But as it stands, I think you are talking yourself into changing the head gaskets/heads for the sake of it, rather than because you actually need to.
