If you are talking about SMALL amounts of water there are types of compressors which can handle it better than others, (centrifugal or Screw type) but liquid entrainment is still considered a bad thing with these types. Vendor will need details on type, amount, etc. of liquid entrainment. Stay away from recip type.
With any significant amount of liquid you will be better off separating the air and water with a knockout drum, separator, and/or a coalescer, depending on conditions, before sending the air to a compressor.