MySQL supports a compressed protocol, but depending on what tools you're using to connect to the database, how you utilize the protocol will be different.
Compression
Compression is used if both client and
server support zlib compression, and
the client requests compression.
A compressed packet header is: packet
length (3 bytes), packet number (1
byte), and Uncompressed Packet Length
(3 bytes). The Uncompressed Packet
Length is the number of bytes in the
original, uncompressed packet. If this
is zero then the data is not
compressed.
When the compressed protocol is in use
(that is, when the client has
requested it by setting the flag bit
in the Client Authentication Packet
and the server has accepted it),
either the client or the server may
compress packets. However, compression
will not occur if the compressed
length is greater than the original
length. Thus, some packets will be
compressed while other packets are not
compressed.
(reference)
If you provide more information about how you are connecting, we might be able to supply you with additional information. For example, in the Connector/ODBC Connection parameters, there is a flag, that will "Use the compressed client/server protocol".