By 'memory', I assume you mean disk space and not RAM, right?
Compressing files won't help RAM at all.
That said, there are still more questions. For one, are you looking to compress files for archiving purposes (e.g. compress little-used files, but still have them available when needed)?
If so, just select the files in the Finder and choose 'Compress...' from the Finder's File menu. This will create a .zip archive of the file and you can throw the original. Double-clicking the .zip file will uncompress it.
Note, though, that files compressed in this way are not visible to tools such as Spotlight (so you can't search these archived files by content).
A more generalized approach would be something like Clusters. This tool works in the background, compressing all files in your home directory on the fly. You don't need to do anything - files automatically uncompress when you use them, and re-compress when you're done. As scary as it sounds, I've used it for years with no problems.
The compression ratio isn't as great as .zip (i.e. it doesn't save as much space), but the fact that it compresses everything, and is transparent is a boon (as well as the fact that the files are still indexed.
Ultimately, though, there is only so much room you're going to gain by compression. A larger disk, even an external disk you can move the old/archive files to, might be a better long-term solution.