At the moment I'm using EWWW Image Optimizer ( http://wordpress.org/plugins/ewww-image-optimizer/ ) The fact it can compress more types of images makes it more useful (and everything is done locally, so you are not depending on outside services), but it would be interesting to compare the compression savings.

I guess off-site compressors are good for those on shared hosting, where compression tasks can result in big CPU usage spikes (that's why some companies do not allow compression plugins to be used).