Fixing a hole in a sheetrock wall is beating me

If it looks fine wet and then shows when dry, it's almost always shrinkage. Joint compound shrinks as it dries, so one thick coat sinks into a dip. Do it in thin coats instead. First coat just fills, let it dry fully, second coat a bit wider, third wider still and feathered at the edges. Sand lightly between coats. For anything bigger than a doorknob hole, put a mesh patch over it first. And prime before painting. Unprimed compound flashes through the paint and you can see the patch from across the room.