Most of the data in Bitcoin blocks and mempool transactions is incompressible
This thread got me curious, so I've tested it for myself using bzip2 (options -z -9). Result (in kB):
130820 blk00400.dat
106864 blk00400.dat.bz
The compressed file is 18.3% smaller. Considering the current cost of disk space, and the complications it would give to read back data (for a wallet rescan), I see no reason to implement this.
I backed up the blockchain data recently (late October) it was 160GB uncompressed, I used 7zip with normal compression and it is 112GB in 25 dvd sized archive files.
Why would you do this? Unless you have a very slow and very expensive internet connection, loading 25 DVDs is much more work than just downloading the blockchain again.
Data retention. In case of loss or unrecoverable error, you can use the backup, instead of having to download the entire blockchain. A backup lets you be back in sync within hours. The purpose of having dvd sized archives is to ensure file transfer ease and integrity, not to actually use dvd media as storage. Cheers!