Here's an example of what I mean. We recently deployed a site with a media browser component built with jQuery. Uncompressed, the file size was about 80k, compressed, the file size was about 14k. Uncompressed, there was this massive delay in Firefox and Internet Explorer while the browser figured out how to deal with the script; about 10 seconds on some slower machines. Compressed, it executed immediately and there was no interruption after the page downloaded.
Actually compressing a script is a pretty simple task. In general, all you have to do is go to the web site for one of the many compressors out there, paste a script, and get back compressed code. Others, like YUI, are downloadable applications you can use to pack your scripts. YUI and Packer are my favorite compression tools - they generally provide the smallest file sizes. Compressor Rater is a site that compares the compression ratio of individual scripts with the multiple compression tools out there to see which one gives you the smallest file size. You can combine different scripts compressed with different compressors in a single web page without issue.