In Blender version >=2.53 the checkmark of compression does not work as it was in 2.49 (in 2.49 often a factor of 10 smaller!)
Example: a .blend 956 KB not compressed remains 956 KB after the checkmark ‘compress’ has been done and newly saved (different name).
If I use 7zip it becomes ‘only’ 201 KB.
Is this on the TODO-list?
check double …
there might be a problem with the compress-flag.
I had to save the compress-setting-to-true as the default in the user-settings,
then to restart blender, check again it was now active
and then the save was done in a lot smaller, compressed file
(normal - with no internal graphics like jpg-images - a 700K file gets down to under 100K).
No, does not help 
This morning my .blend file is ‘really’ compressed. Do not know why.
It is W32 SVN 31894
aahhh You have the dreaming-sleepy-blender-version,
you have to put your blend-file under your pillow and sleep a whole night with your head on it … while dreaming it to a small compressed size …
blender goes to the magical mystery tour … (is this copyrighted by the beatles …?)
(btw. did i not write down, you may need to restart blender …?)
Previous attempt was with shutting down Blender and starting … BUT that did not work
I followed your suggestion …
So I was really surprised today 