By the way, here's a rundown of the formats I'd recommend:
tar.gz: Quick, basic compression. Best choice for small files, since the extra compression of other formats doesn't help much.
tar.xz or tar.lzma: Slower, much better compression. A good choice for really big files.
7z: Basically the same type of compression as tar.xz (LZMA), but has some additional features: it prevents redundant files from increasing the file size, offers encryption (password protection), and offers splitting one archive into multiple files.
tar.bz2 used to be a useful format for large files, but LZMA (tar.xz) makes it so bz2 is now only ever useful if some software handling the archive is incompatible with LZMA. It's pretty much in between tar.gz and tar.xz.
