1) Many image-and video-formats are already compressed, so it's very little to gain by compressing them with some other program. This is especially true for JPEG. For very small pictures (in bytes) - or rather a large archive with many small pictures - there may quite a bit to save, but in general, JPEG-files are as compressed as they can get.
2) It's generally a bad idea to try to compress the same data repeatedly; whether it's compressing an already optimized filetype (e.g. gziping a jpeg-file), or applying a different or the same compression programs to the same file in serial (as you've done).
3) When you compress a file, you sometimes will end-up with a larger file than you originally had (use touch to make an empty file, and try to bzip2 it). It has to be that way; because else you would be able to take some data, compress it again and again until nothing was left but an empty file, and still be able to uncompress back to the original data later - but does that sound logical?
It's typically compressing already optimized (like jpeg) or already compressed data which will cause growing this way, especially using the same compression-programs on the data several times.
4) The best way to save data, is to find the compression-program that gives the best gain for whatever data you have (as the gain may vary depending on the data); and use only that compression-program and use it only once - but with it's best (often slowest and most resource-demanding) setting. Currently the "best" (giving most gain) compression-program is probably xzip, though bzip2 is not far behind. Make sure you select the best compression-rate.
5) For images (like jpeg) you often use "lossy" compression - ie. you loose some data (unlike when you use programs like xzip, bzip2 and gzip which are not lossy). Repeatedly JPEG-compressing an image will therefor make the image smaller each time it's used (unlike using something like bzip2 twice), but you will loose details in the image. There are also other things you can do to images - like changing the size (making it smaller) or resolution (less pixels per inch) - that'll make it "smaller", but again data will be lost.
Thus if the quality of the pictures are not that important and you absolutely want to save space, using a program like ImageMagic to batch-process all the images and making them smaller, less detailed and/or using higher jpeg-compression may save you lot of space. It will be lossy though, and your pictures will loose details.
6) A bit OT, but have you looked at stuff like thumbnails-directories - like ~/.thumbnails ? If you have many pictures in your directories and use file-browsers with picture-preview, .thumbnails may contain lots of thumbnails of pictures you've browsed through at some time. Personally I've gained lots of disk-space by routinely deleting files under various hiding-places for thumbnails...