Juan Carlos:

SQL Server 2005 has built-in encryption, a pretty cool feature that MS acquire from three different vendors. Check the books online, you probably find plenty of documentation there. Having implemented encryption for SQL 2000 myself, I can tell you that managing keys is the biggest problem you will face, but 2005 already fixed that.

You are right, other RDBMS have server-side column-level compression, MySQL is one of them. There must be a reason for including such functionality, and it works just fine for them. Why can't we do it in SQL Server? Is it less of a database engine?  But then again, it is a matter of approach and what works for you based on what challenges your environment post.