e.g. compressing 5GB in 1 min. using all cpu cores
xz -k -T 0 -0 -v very-large-data-file
-0 is the fastest compression level, but compresses still better than gzip with standard level
if you have more time, you can use levels -2 or -3 which need approx. 2 or 3 min. for 5GB, with a 2-times better compression ratio than gzip!