Was having a look at this article by Peter A. Bromberg Ph.D. (don't know if that's his given name ;-)) over at Eggheadcafe.com, I always found it a bit annoying that DataSets serialized to XML only. Using the incredibly cool CompactFormatter, combined with the old favourite SharpZipLib, he's able to squish a DataSet down to just 4.6% of it's original size - now that's a pretty useful reduction!
Why is it useful - well when you're sending a DataSet over a webservice, it's likely that most of your latency will be caused by the physical transmission of data...the less data, the smaller the latency!
I really like Eggheadcafe.com, they tend to have more esoteric articles than most other sites around...and it has the best coverage of uses of compression in ASP.NET anywhere!