A homogeneous Riemannian space (M = G/H,g) is called a geodesic orbit space (shortly, GO-space) if any geodesic is an orbit of one-parameter subgroup of the isometry group G. We study the structure of compact GO-spaces and give some sufficient conditions for existence and non-existence of an invariant metric g with homogeneous geodesics on a homogeneous space of a compact Lie group G. We give a classification of compact simply connected GO-spaces (M = G/H,g) of positive Euler characteristic. If the group G is simple and the metric g does not come from a bi-invariant metric of G, then M is one of the flag manifolds M_1 = SO(2n+1)/U(n) or M_2 = Sp(n)/U(1)·Sp(n–1) and g is any invariant metric on M which depends on two real parameters. In both cases, there exists unique (up to a scaling) symmetric metric g_0 such that (M,g_0) is the symmetric space M = SO(2n+2)/U(n+1) or, respectively, CP^{2n–1}. The manifolds M_1, M_2 are weakly symmetric spaces.