This saves on space but also often improves query latency, provided your execution engine supports queries on compressed columns - less data means more of it fits into cache, meaning less cache misses (i.e. expensive disk reads).
edit: So what I mean is compressing the entire files or disk blocks with LZ might not take advantage of the same properties and might not get you the same deal - here often the in-memory data layout is also compressed, and queries execute efficiently on compressed data, versus with a blindly compressed filesystem you'd ostensibly have to always decompress first.
Sadly, PostgreSQL does not support that now, but hopefully it's not that far in the future. It's becoming a fairly regular topic in discussions both with customers and devs on conferences.
We've certainly discussed running on ZFS internally, but haven't evaluated yet. We're a bit uncomfortable dictating file system requirements to users, so looking to ultimately provide many of these things in the database instead.
Would welcome any testing/benchmarks, though! :)