Best compression -> bst cmprssn -> 7z

Compression is a technique used to compact data into smaller units than the original, without significant loss when unpacking (decompressing/unpacking). When it comes to data compression, there are several protocols, some are better than others. Without elaborating the intricacies, it basically removes redundancies. There are various types, depending on what you intend on compressing.

Audio: ogg vorbis, mp3, wma
Data: 7z, rar, ace, zip

My personal favourite is rar. One of the best techniques is 7z. There are better ones, but this is still relatively well known.