This is a great thing for large files that are not frequently used.
There is an overhead involved, so if you have low CPU power
and compress every little thing you may notice the slow down.
In general, the NTFS compression is very good at saving space
and in highly optimized for minimum CPU overhead.
There are some things that you cannot, or would not want to,
compress - such as executables and system files.
Note that compression and EFS are mutually exclusive, you
may use only one of them on any specific file.