It really depends on what file types you are trying to compress. For example, jpg, mp3, exe files are already highly compressed and you will not see too much more compression by adding them to an archive. With text files (doc, xls, etc) on the other hand, you will see a higher level of compression.
The best compression I have seen came from a program called UHARC. I've seen 700MB of data brought down to around 6MB...amazing compression rates (obviously mostly text-based files)! The trade off, however, was that it is a little slow. But if I was creating an archive that I wouldn't be opening for awhile it was worth it; if it was something I would be accessing all the time, not so much. I haven't used it in a few years.
I just tried to search for it, and I found a bunch of front end GUI applications for it (I used to use it from the command line), but I imagine that if the GUI sucked, you could just use the actual utility from the command line.