OK lets get this straight, GrahamS was correct, zipping is lossless compression – you'd be a bit fecked if your application or important data lost info during compression. Certain file types that store things compressed (the aforementioned jpg, mp3 etc) sample the image and "merge" nearby parts that are the same, effectively just simplifying the data and re-using parts.
If you use a JPG format to store a picture you'll lose quality over the original. If you use ZIP to store JPGs the files will be identical when unzipped. The problem being that, also as stated above, zipping into one file leaves the whole batch vulnerable if any one section gets damaged during transmission – damage some parts of your zip and the whole lot are gone. I've had quite a bit of trouble with some of the free zipping tools for windows corrupting archives so try never to use zips anymore if possible. As graham says, you'll get 1-3% compression on jpgs and mp3s as the format tends to use the same sorts of techniques on top of the original lossy compression technique to further shrink files.