Let Windows' disk cleanup decide. By default it compresses those files not modified for a period of more than 50 days, so most music files, videos, and photos will fall in there. The brother of one of my friends has this insane amount of music (he likes Progressive Rock and Metal, and those songs can last 20 minutes easily), and all of it was NTFS-compressed. I don't remember much of an impact in computer resources, and we're talking about a Pentium III @ 866 MHz machine, with 256 MB of RAM and running XP. But it also saved some space in a HDD that was not exactly empty (hmmm, I have 40 minutes songs...
I don't know if it could bring that much difference nowadays anyway. Reading that kind of files is quite fast with today hardware, and just the files that could receive the most benefit are those who are not really eligible for that (those frequently modified). Is there any objective test out there comparing this kind of performance "tricks"? I want to know if there is that difference with modern hardware, or if it just another loss of time, just like use-based defragging algorithms and placing the swap file at the beginning of the drive.
For now, try to ZIP as much files as possible. ZIP compression is almost transparent, and the savings and other benefits are worth it.