G'day,
Audio (.wav) files do not compress very well unless you use a 'lossy' algorithm. This means that zipping a .wav file is not worth the effort.
MPEG algorithms result in good compression but lossy compression means that you can never restore the file to the original - there will always be some small deterioration in the quality.
The latest version is MPEG 2 layer 3 (usually shortened to MP3). This apparently gives compression rates of 10:1 to 14:1 with undectable (to the ear) loss in quality. Note that the URL given by Bill D is layer 2.
Do a search for MP3. For copyright reasons MP3 encoders are hard to find (broken links etc.), but decoders and players can be found.
I haven't had time to try any of this but I believe MP3 is a very promising way of exchanging audio.
Start surfing from some of these:-
http://www.ittrek.com/mp3.html
http://www.users.skynet.be/somnus/mp3encoders.html
http://your.dreamhost.com/
http://www.mp3.com/
http://www.campaspe.net.au/nonags/snd32.html
http://www.layer3.org/Cheers,
Alan