Data compression with in memory OLTP
Looking at the CREATE TABLE definition for 2014 and scrolling down to the box headed "--Memory optimized CREATE TABLE Syntax", there is no mention of compression.  Ergo, compression is not available for in-memory tables.

But yes, compression uses more CPU.  Our experience is that query elapsed times are still shorter because the extra compute time is more than compensated for by the reduced IO latency.

Update: in memory tables now support columnstore indexes which employ compression.