Me, I usually find memory to be the bottleneck. Granted, I run PC's that vary in ram from 64 to 128MB and with a processor of around 200 - 300 Mhz, and after searching high and low I have found Knoppix and its variants to be the fastest performing Linux livd CD's out there. And I am a Slackware fan and have been for 2 years. But I have been impressed with Debian/Knoppix performance here in the past month or so. I find Knoppix in the CD tray rivals Slackware on th HD in speed. Well, almost.
Slax uses the squashfs, and basic Slax even without any modules thrown in is less responsive than a full 700MB Knoppix CD even on my old hardware. I like Slax, but have to concede the better performance to Knoppix. Add modules to a Slax Live CD and you better have a new PC. But, sure, it is more to do with how Slax puts everything into memory more while Knoppix puts it there only when needed, than due to the compressed FS. I guess my point is why mess with a good thing.