Yes they are compatible, as are most wooden tracks (bigjigs, ikea, etc), although some fit a bit better than others. Also some of the Thomas trains don't fit under the other makes bridges.
My boys have Tidmouth Sheds, a signal house, the quarry mine, a level crossing, a castle drawbridge thing, and another bridge, all Thomas and mostly bought from ebay, as like you say, they are very expensive. Tidmouth sheds probably the best buy and it came with its own turntable but it takes up quite a lot of space.