Here are some remarks on the answers of Charles Matthews, Kevin Buzzard, and Victor Protsak. For justification of Kevin Buzzard's claim, see G. Prasad, "An elementary proof of a theorem of Bruhat-Tits-Rousseau and of a theorem of Tits" from Bull. Soc. Math. France 110 (1982), pp. 197--202, for an incredibly elegant and short proof that over any henselian valued field $F$, a connected reductive $F$-group $G$ is $F$-anisotropic if and only if $G(F)$ is "bounded" (a property defined in terms of a choice of closed immersion of $G$ into an affine space over $F$, the choice of which doesn't matter; this is meaningful for any affine $F$-scheme of finite type and equivalent to compactness when $F$ is locally compact). Platanov-Rapinchuk has a universal assumption that all fields of characteristic 0 (except when they're finite), so unfortunately that reference is insufficient for uniform arguments over all non-archimedean local fields. I suppose (near?-)circularity (suggested by Victor Protsak) is a more serious issue. :)

There remains the matter of determining, for locally compact non-archimedean $F$ and connected reductive $F$-groups, precisely when the $F$-anisotropic case can actually occur. As Victor Protsak mentioned, via Bruhat-Tits theory one sees that for connected semisimple $F$-groups which are *absolutely simple* and *simply connected* over a non-archimedean local field $F$ (i.e., $G$ a simply connected $F$-form of a Chevalley group), such forms never exist away from type A, and in type A the $F$-anisotropic examples are precisely the $F$-groups of norm-1 units of central simple algebras over $F$. (Note the contrast with the case $F = \mathbb{R}$, for which there's always a "compact form" of any Chevalley type.)

Let me now briefly explain why this handles the general connected reductive case, by a standard kind of argument with central isogenies and separable Weil restriction. (This is explained also in the article [2] of Tits referenced in Charles Matthews' answer.) If $f:G' \rightarrow G$ is a (possibly inseparable) central $F$-isogeny between connected reductive $F$-groups then the preimage of an $F$-torus of $G$ is an $F$-torus of $G'$ (since maximal tori in $G'$ are their own functorial centralizers, so $\ker f$ is of multiplicative type, nothing funny happens when $f$ is not separable). Since $F$-anisotropcity of an $F$-torus is invariant under $F$-isogenies (as we see using the $F$-rational character group, or more direct arguments), it follows that $G$ is $F$-anisotropic if and only if $G'$ is. (This argument has the advantage of working over any field $F$, in contrast with a direct attack on the topology of rational points by using finiteness theorems for Galois cohomology of connected reductive groups.) Thus, by considering an arbitrary connected reductive $F$-group $G$ and letting $G'$ denote the product of its maximal central $F$-torus and the simply connected central cover of the derived group $D(G)$, we see that the problem comes down to the simply connected case.

But in the *simply connected* semisimple case, the general structure of connected semisimple groups over fields (in terms of central isogenous quotient of direct product of commuting simple "factors") implies that $G$ is uniquely a direct product of commuting $F$-simple connected semisimple $F$-groups, each of which is simply connected, so we may assume $G$ is $F$-simple. Then by an elementary result of Borel and Tits (6.21 in "Groupes reductif", IHES), $G = {\rm{Res}}_ {F'/F}(G')$ for a finite separable extension $F'/F$ and a connected semisimple $F'$-group $G'$ that is *absolutely* simple and simply connected. By the good behavior of Weil restriction with respect to the formation of the *topological* group of rational points, it follows that the equality ${\rm{Res}}_ {F'/F}(G')(F) = G'(F')$ of abstract groups is a homeomorphism, so we can replace $(G,F)$ with $(G',F')$ to reduce to the case when $G$ is also absolutely simple, the case addressed by Victor Protsak above.
(A more algebraic argument with Galois descent relating maximal $F'$-tori in $G'$ and maximal $F$-tori in its Weil restriction to $F$ shows the equivalence of anisotropicity for $G'$ and its Weil restriction through the finite separable $F'/F$, where $F$ can be taken to be any field at all.)

Conclusion: for non-archimedean local $F$, the $F$-anisotropic connected reductive $F$-groups are precisely the central quotients of products of an $F$-anisotropic torus and groups of norm-1 units of central division algebras over finite separable extensions of $F$.