if you want to put them on discs, offline, to get more space, yes.
the folder structure and long filenames often don't work well with cd's and dvd's but work great with archives.
I would recommend 7-zip or even better, winzip or stuffit. stuffit and winzip compresses jpegs without losing data.
7-zip is free and handles large file sizes unlike windows' built-in "Compressed-zipped-folders",which easily breaks and corrupts during archiving (at least on XP).
stuffit uses its own compression and was originally invented for the mac. works on PC's too.
avoid the windows built-in "Compressed(zipped) folders". on xp it corrupts the resulting file, and if you chose move, that means data loss. it also doesn't handle anything over 2GiB without silent corruption.
alternative is to use windows' compression on your folders. would be a bumpy, severely annoying ride if you decide to compress your windows directory.
I just updated this article.