How to compile CoffeeScript on save in VIM
arnklint.com
Simple tip for VIM users doing CoffeeScript
arnklint.com
However, it's worth noting that there are other projects that let you stop thinking about compilation altogether. If you're developing for Rails or Python, for instance, you can just use a plugin. (And as of Rails 3.1, you don't even need one.) If you're just developing a static site, I like The Middleman (http://middlemanapp.com/), which does on-demand Haml, Sass/Less, and CoffeeScript compilation, then lets you bundle it all up (minified) for deployment with a single command.
(add-hook 'after-save-hook
(lambda ()
(when (string-match "\.coffee$" (buffer-name))
(coffee-compile-file))))