I’ve loved TinyPNG for a long time, but didn’t realize until quite recently that they’ve got a WordPress plugin. I just tried it on a client’s site, and it’s amazing: automatic lossless image compression for all .jpg and .png images uploaded through the Media uploader. That means that all your images are exactly the same, but have smaller filesizes.
The plugin’s free version will compress a few hundred images per site per month, which should be enough for most sites. Highly and absolutely recommended if you’d like to serve large images and still have a fast WordPress site.