There's a thread about backing up stuff somewhere on this site.
I would use an external hard drive, maybe even two or three, because it's easier to load the info onto another computer.
You can also create an exact image of your computer's hard drive so you don't even have to reinstall programs. I like the idea of everything being freshly installed though -- not carrying over some type of corruption from another computer.
I liked CDRs and CDRWs until I realized some of them chopped file names on me and others told me they couldn't copy all the info from my computer.
I'm not an expert on compression -- the original question.

Duh on me. I don't like to compress things -- because some time in the future if I want that back, I want it back easily. I don't want to have to have a certain program (and older computer that is the only thing that runs that software) to uncompress it.
For me, external hard drives are the way to go. They're not extremely expensive considering what you're saving/backingup. And you can usually connect them with USB or firewire so they move data pretty quickly.
Flashcards are another way to backup quickly I suppose.