Does Windows Server File Compression slow Oracle DB performance?
Indeed it is a bad idea put oracle datafiles in a compressed folder as it uses async random IO.

eg. on http://support.microsoft.com/kb/156932 we read:


  One obstruction to asynchronous operation is NTFS compression. The file system driver will not access compressed files asynchronously; instead all operations are just made synchronous.


If you have enterprise version of Oracle installed you can look into table and index compression provided by Oracle itself.

We can still use NTFS compression for almost everything in the recovery area (archive logs,rman backupsets,...),the dpdump folder and logging files.