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.