I found lz4 to be the best for general purpose analysis, it increased the throughput of my processing 10x compared to bz2. Then if you're working with very large files you can use the splittable version of lz4, 4mc, which also works as a Hadoop InputFormat. I just wish they would switch the Common Crawl archives to lz4.
I should probably mention the compression ratio was slightly worse than bz2 (maybe 15% larger archive) but for the 10x increase in throughput I didn't really mind that much. I could actually analyze my data from my laptop!