tar & compression

[Fbsd8]

The man page for tar command says there a 4 different compress types you 
can use, xz, bzip, bzip2 and gzip.

Which one is the fastest and compresses the most?
I am using -z option for gzip and it sure is slow.
Hoping one of the other zip options are better.
What do you guys use?

Another question about tar is can I have tar create a compressed bkup
of 2 files and a directory tree all in single tar command?