For most of the early evolution of the HLSL language, the compiler was part of the D3DX utility library (aka D3DX9). This compiler supported Shader Models 1.x, 2.0, and 3.0 for Direct3D 9 vertex shaders and pixel shaders. For Direct3D 10, the graphics team started a new compiler to support the demands of the new Direct3D 10 API with Shader Model 4.0 versions of vertex, pixel, and geometry shaders. Direct3D 10.x added Shader Model 4.1 variants. Direct3D 11 adds Shader Model 5.0 and two new classes of shaders for tessellation (hull & domain) shaders.
There have been two main consequences to this new HLSL compiler development effort.
First, the "new" HLSL compiler (or since we are talking about something that happened around 2006, the now "current" HLSL compiler) supports almost, but not quite all, of the HLSL shader profiles. It does support Shader Model 2.0 and 3.0, and even supports Vertex Shader Model 1.x shaders. It does not support Pixel Shader Model 1.x shaders. Partly it was a matter of diminishing engineering returns, and partly these very early pixel shader models were not "complete" in a computational sense and required immense special-case support to work. Further, the baseline requirement for the Windows Vista desktop and the WDDM driver model was Pixel Shader 2.0 support. Thus Pixel Shader Model 1.x was deprecated.
To ease the transition, we provide a "/LD" command-line switch for FXC.EXE, and the D3DXSHADER_USE_LEGACY_D3DX9_31_DLL flag for D3DXCompile* APIs that easily allows developers to invoke the now 'legacy' compiler for those cases where they still had to compile Pixel Shader Model 1.x shaders. We also added some features to the "new" HLSL compiler that would silently promote all Pixel Shader 1.x profiles to Pixel Shader 2.0 profiles to avoid the need to edit potentially hundreds of shader files just to deprecate these older models (this is part of what happens when using "/Gec" or the D3DXSHADER_ENABLE_BACKWARDS_COMPATIBILITY flag). So all fine and dandy, but this does tend to make a bit of a messy story for what DLLs do you actually need at runtime, and therefore have to deploy to your customers. If you use the 'legacy' compiler, you have to ship the D3DX9_31*.DLL in addition to whatever 'current' D3DX9 DLL you were making use of. Ideally of course you'd do all your HLSL shader compilation at build time and your customers would never need the compiler, but this is not so easy to achieve especially for User-Generated Content toolsets.
The second impact of this work was the realization that as we added more generations of 'active' Direct3D API, and their matching D3DX utility library, we were duplicating a lot of the same code and potentially having the same few megabytes of compiled code loaded several times in an application. Early releases of D3DX10 had a copy of the compiler, and the same code was inside D3DX9. As we were working on Direct3D 11, this means we might have yet another copy in the eventual D3DX11 DLL as well. Over the intervening few years, the graphics team has gradually dis-entangled the HLSL compiler from the rest of D3DX9. The D3DCompiler_xx.DLL was introduced to host the 'shared' HLSL compiler, and D3DX10 made use of it. As it took a while to get all the Effects 9 interactions with the HLSL codebase worked out, and all the shader reflection required to support it, for a while we continued to have the HLSL compiler in both the D3DX9 DLL and D3DCompiler, but starting in the 2009 releases we were able to get D3DX9, D3DX10, and D3DX11 all using D3DCompiler_*.DLL.
This opens up an interesting option for developers: Calling D3DCompiler_*.DLL directly and not using the D3DX utility library at all. We know that some customers only use it for HLSL support, and the majority of the functionality for it was in D3DCompiler_*.DLL. In the August 2009 release we added D3DCompiler.h to allow direct access to the DLL's entry points for this purpose. D3DX still remains a convenient way to use it (the D3DCompiler.h only has "FromMemory" and not any "FromFile" versions), but they are no longer hosted in the same DLL. It should also be noted that the DirectX 11 Shader Reflection API is in fact hosted in D3DCompiler_xx.DLL (not D3D11.DLL as implied by the documentation).
In addition to all the graphics API shader models, there are also Effects library profiles (fx_2_0, fx_4_0, fx_4_1, and fx_5_0) for the different generations of the Effects library. Effects 9 runtime is part of the D3DX9 utility library. The Effects 10 runtime is provided in the OS (along with an OS copy of the HLSL Shader Model 4.0 compiler which matches the DirectX SDK December 2005 release). The Effects 11 runtime is provided as source in the DirectX SDK, and this relies on the D3DCompiler.h interfaces to perform shader reflection operations.
The D3DCompiler.h API as written was originally developed for Direct3D 10.x and extended for Direct3D 11. As such, it made use of the ID3D10Blob API and many of its related #defines were in the D3D10 headers using the "D3D10_" convention. This has the side-effect of DirectX11 code using some of these D3D10 symbols, which is a bit confusing. For the DirectX SDK (June 2010) release, we are addressing this by making a number of these "versionless" defines with aliases for older code: ID3DBlob, ID3DInclude, D3D_SHADER_MACRO, D3DCOMPILE_ to replace D3D10_SHADER_* and D3D10_EFFECT_* etc. There is a D3DCreateBlob() function now in D3DCompiler_xx.DLL as well to avoid having to use the D3D10 DLL's D3D10CreateBlob() entry-point. Existing code should continue to compile, but these changes should make it easier to be "clean" in your use of DirectX 11 APIs.
Update: The most current version of D3DCompiler_xx.DLL is available in the Windows SDK.
Related: HLSL, FXC, and D3DCompile