http://highscalability.com/blog/2009/10/26/facebooks-memcach... would indicate that Facebook's memcached instances are sometimes CPU-bound. They've submitted several patches to Memcached to improve its performance so that would back that up as well.

I've wondered the same thing--compression would be enormously helpful to us since we're RAM-bound (even with tons of RAM) and store a lot of easily compressible HTML. Further, our memcached instances show almost no CPU load.