If anyone is interested in generating compressed vanity addresses, see
this Pull Request. salfter did the CPU side, and I commented with a link to my fork that includes his work and adds OpenCL support for the GPU side. Please be careful and verify that addresses you generate using my changes are correct before sending money to them.
Using compressed addresses saves a few bytes in the blockchain every time you spend from them. Addresses made in the latest versions of bitcoin-qt are compressed by default, but not all clients support them (so you might want to make sure before spending hours generating one.) A bonus is that generating compressed vanity addresses is a bit faster since there is less data to hash each time you try one.