it always depends on how the file has been made, and how compressed it already is
great example is a divx video or an mp3 audio file, if you compress them with XP's "compress" tool (not the zip function) or 7zip, you'll still get pretty insignificant reductions, but if you were to compress a RAW avi file, you'd get awesome compression on it, the codecs used in these files (mp3 + divx) are all aimed at lower filesizes, so are optimized to be smaller
the same goes with pictures, if you compress a bmp file, you'll get awesome results, and with a jpg or png file you'll get very little compression (as they are already compressed)
also, with an empty word document, its usually around 25-30kb yes? (i don't use office at all), but if you compress it, its probably around 10-12kb (ms want files that don't lag when you open them, so i guess they use little optimization) -maybe its just bad programming in this case!
to test it for yourself, open notepad, and type..
test test test test test
(over and over for ages) then save it, it'll be 1byte large for each character, so my passage of tests above would be 24bytes if i saved it, and its easy to compress because its repetative!, your average compression tool will see that and 'think' "ok, i'll put a key in that says, test=1(space), and will replace your text with 11111. (for example)
an mp3 will have very little duplicate information in its file, wheras a wav file, will store a lot of information that is made obsolete to us