UPDATED: Clarified the end result of AppCompactor on a standard program.
When you gotta go, advanced users should strongly consider using AppCompactor to stay mobile. Just introduced by John T. Haller of PortableApps, this portable power user's right-hand man crushes program files, often shaving 50 percent off the size of a disk.
AppCompactor melds 7-Zip and UPX to compress and archive DLLs, EXEs, JARs, and other files essential for running any program into a package that doesn't need to be unarchived to run. Programs that have been compacted run smoothly from a flash drive or other on-the-go storage devices. Programs run through AppCompactor are not, however, truly portable in the sense that they are self-contained programs--they're just significantly smaller.
AppCompactor has already been in use by Haller's PortableApps.com to assist in creating Firefox Portable, Pidgin Portable, and other portable programs. This means that it won't do any good to compress already compacted apps that have used AppCompactor. Theoretically, it might work on portable versions that were not created with it.
When you run AppCompactor, it will ask you to point it at a program directory. From there, you can choose the type of compression you want to run. NRV2E is the default setting, with other choices including NRV2D, LZMA, BRUTE, and a decompress option. You can also opt out of compressing JAR and ZIP files, although the default is to compress them down. As the app runs, it opens a DOS window that shows you the progress of the compression cycle. This should help observant users with fast eyes to keep track of any errors that occur.
As recommended, I found that saving the compressed program output to the hard drive and then copying to a USB key gave me faster results than outputting directly to the flash drive.
The benefits of compressing such files should be obvious, but this is not a program to treat cavalierly. When using it, it's essential to read through the instructions beforehand. Choosing to compact the main program executable can result in rendering the compacted program inoperable. In other words, do not compact C:/Program Files/Firefox/Firefox.exe, for example. C:/Program Files/Firefox/Files would be fine, though.
If you're interested in AppCompactor, you can post your compression percentages in the comments below.