mysqldump and gzip one-liner
I frequently download mysql backups from our production environment (at off hours of course) to do testing with actual data. As a force of habit, I've always just mysqldump'ed the data and then gzip'ed as two separate commands.
Here's a one liner that I've started using instead.
mysqldump <mysql_options> | gzip -9 > file.sql.gz
Note: the -9 in the gzip command is the compression level, 9 being the maximum compression