It all boils down to where your bottle neck is...
If your client(s) have hugh amounts of data and big enough engines to
compress it down and it compresses nicely (such as oracle DB's) then you
will find that you can compress the data AND send it in less time than you
can send the data uncompressed.
Or if you don't have much network band width and your users go across the
same network as your backups then you might want to compress the data to
minimize the traffic.

Example... we have an SAP instance that is about 2.4 TB on an E10000 with a
dozen (or more) processors and an independent network for  backups... with
compression turned on we can now back this DB up in about 16 hours which
basically keeps the 100 Mb/sec fast ethernet interface maxed out... and
because we can keep it maxed out, if we sent the data uncompressed it would
take 4 times as long because it would be sending 4 times the bytes (we see a
pretty good 4/1 compression)

So I get to say my favorite thing
        It depends !
later,
        Dwight