That’ll be an inbox-busting attachment!
http://www.yousendit.com/ - not sure what the business model is, but you can dump a file up to 1Gb there, for collection.
If you don’t trust them with a friend’s valid email, then send it to one of your own discardable/filterable addresses and just copy the link.
If the file is already in a compressed/media encoded format, then the only way you’ll compress it further is by lowering the quality, or going to a better compression.
For uncompressed WAV files, use a common lossy or lossless audio compression format - normal file compression programs barely touch WAV.
For video, the best compression is normally DivX/Xvid (lossy) - you need serious space to handle lossless video.
For images, JPEG (lossy) or PNG (lossless, good for hard/flat computer images, poor on real world photo) - PNG works WELL, on the kind of images that JPEG destroys except at minimum compression.