Also, certain file types compress better with certain compression techniques. Some files, LZMA (7-Zip) works best, others, RAR.. text files often compress best with gzip / bzip etc.
There's no definitive answer to this really, you'll either need to run a few tests and pick the best if a few kb matters (there's not usually _that_ much difference between most compression techniques, especially RAR and LZMA) or use a high compression engine (again, the likes of RAR / LZMA) for "everything" for simplicity / ease of use.
As crashgate says though, already compressed files (MP3, JPG, AVI etc) don't recompress very well as they've already been compressed previously.
Regards,
Ian