I don't believe a GUI exists for YUI Compressor...probably because in most projects YUI Compressor is run by an automatic build process, and its command line parameters are of the "figure 'em out once, forget about 'em" nature.
In terms of combining files, this too would be easy to do with the current YUI Compressor and a command line (as I'm sure you already know), but the projects that I've worked on have opted for combining JS files at runtime before sending down to the client. This allows for greater flexibility of picking and choosing appropriate JS packages for a specific users' current needs (and thus minimizing the amount of JS being sent to the client while trying, of course, to balance these packages in an appropriate browser caching scheme). Steve Souders' "High Performance Web Sites" has great discussion on this topic.
That being said, a GUI for YUI Compressor certainly sounds like something worth doing, if for no other reason than helping expose all of YUI Compressor's power to those users who are only aware of the most basic command line parameters.