We investigate the suitability of the local compressibility chi(z) as a measure of the solvophobicity or hydrophobicity of a substrate. Defining the local compressibility as the derivative of the local one-body density w.r.t. the chemical potential at fixed temperature, we use density functional theory (DFT) to calculate chi(z) for a model fluid, close to bulk liquid-gas coexistence, at various planar substrates. These range from a `neutral' substrate with a contact angle of approximately 90 degrees, which favours neither the liquid nor the gas phase, to a very solvophobic, purely repulsive substrate which exhibits complete drying (i.e. contact angle 180 degrees). We find that the maximum in the local compressibility, which occurs within one-two molecular diameters of the substrate, and the integrated quantity chi_ex (the surface excess compressibility, defined below) both increase rapidly as the contact angle increases and the substrate becomes more solvophobic. The local compressibility provides a more pronounced indicator of solvophobicity than the density depletion in the vicinity of the surface which increases only weakly with increasing contact angle. When the fluid is confined in a parallel slit with two identical solvophobic walls, or with competing solvophobic and solvophilic walls, chi(z) close to the solvophobic wall is altered little from that at the single substrate. We connect our results with simulation studies of water near to hydrophobic surfaces exploring the relationship between chi(z) and fluctuations in the local density and between chi_ex and the mean-square fluctuation in the number of adsorbed molecules.