Examples of things that tend to not be very compressible
Already compressed files:
gzip archives
bzip2 archives
rzip archives
zip archives
Many movie formats (raw DVD images tend to be more compressible than most other formats, if you're in the habit of backing up your DVD's - and be aware that often how compressible a movie will be a matter of what's inside the container format, and is frequently not an attribute o the container format itself like .mpeg or .mkv)
Many music formats (see notes about above container formats)
Many picture formats (.gif, .png, jpeg, but .ppm may be pretty compressible, and .gif is more compressible than .png or .jpeg)
Largely random data like that from "cat /dev/random'

Examples of files that do tend to compress well:
Text files:
Many wordprocessor file formats, but openofice formats are sometimes well compressed already
Source code, like that written in C, C++ or Java
Interpreted language code, like that written in Python, Ruby, Perl, or TCL
Binary files
If you have a file full of a small number of distinct floating point numbers, repeated again and again, that will often be pretty compressible
Any other binary format that has lots of repetition, will tend to be pretty compressible

Pinched from here:
http://stromberg.dnsalias.org/~strom...s-of-data.html