If you take traces (via Settings > Trace) the resulting .etl files are rather huge (limited to 1GB by default). We found that they are very compressible if you simply zip them to an archive and usually do that before handing them over. I think it would be good to compress them right after creation to save space in the database (where they are kept until downloaded) and reduce download times and traffic.
The trace I just created was a 210MB download and is less than 10MB in a zip file.