Hey,
when I make a bsa via Oblivion mod manager, should I compress it?

You'll have different advise to that question. In my opinion, no you should not compress at all. Compressed BSAs must be uncompressed by the game before it can access the files stored within, which will have an impact on loading of those files by the game as it has to wait until uncompressed. Others however say that the impact is negligible or non-existent and that you should compress to reduce file size. I have also read that some people believe you should use the highest compression as this will speed up the game accessing the data, I think because smaller BSAs require less memory to load - I do not believe this to be correct but I lack the knowledge to verify or disprove this.

Thanks a lot.

While searching on the web, I've also found a post by Khetienna basically confirming everything you've said:

http://tesalliance.org/forums/index.php?/topic/3528-bsa-creation-tips/?p=57979