Shaun J. Stuart has a script which compresses all (compression-worthy) objects in a database:
Reader Dick H. posted a comment on my last version of this script stating that he got an error when this was run against tables containing sparse columns. Data compression does not support tables with sparse columns, so they should be excluded from this process. I’ve modified this script to correct this. I don’t have any tables with sparse columns in my environment, so thanks to Dick for pointing this out!
For instructions on using this script, look here.
This is a very useful script to have in your back pocket.