A great way to compare the best compressors is The JavaScript CompressorRater by Arthur Blake.
What you're usually interested in is the size after compressing with GZIP (you should configure your web server to perform the compression).
The best results are usually from the YUI Compressor or Dojo ShrinkSafe. The differences were so small that after a while I stopped comparing and I just use the YUI Compressor.
EDIT:
since the original time this question was asked, 2 new minifiers have been released. They're both usually at least as good as, if not better than, the YUI Compressor.
- Google's Closure Compiler. Includes an aggressive advanced optimization mode that's sometimes applicable.
- Microsoft's Ajax Minifier (search this page for "minifier")
EDIT 2:
- UglifyJS, chosen by the jQuery team for the official 1.5 release