My favorite compression program. Hosted here for convenence to those who might not have it and need it, as most of my downloads are provided in .7z archives. For the official website, documentation and latest versions go here:
http://www.7-zip.org/

7zip supports all the major formats such as .rar and .zip. Has all the commonly used features of zip and rar, and it is open source. There's no reason to use winrar or winzip anymore, since 7zip can read their formats, write .zip, and winrar can read zip/7z, so when you create an archive you don't have to worry about compatability for those guys.