You should only use NTFS Compression on "mostly read-only files" - ie., files that don't get written to very often. Why? CPU usage is a small factor, fragmentation is the big factor.
Doesn't work all to well on WAV/BMP (use MP3 and JPEG/PNG compression for those), but does a good job on text files (including source code), executables, et cetera. NTFS Compression is a LZW variant, so you can basically expect it to work for the same types of files that ZIP works for.
Windows folder is OK, never compress boot.ini, ntdetect.com or ntldr, though.