MSDN clearly notes that "FILESTREAM filegroups can be on compressed volumes." Everyone seems to mention BOL, but fails to mention a quote, or any kind of reference. Perhaps BOL is just wrong. It certainly wouldn't be the first time.
How are so many people oblivious to compression options ? Are the people answering "No" the people who don't use compression ?
The answer is only "No" if you use the most basic form of compression, where rows over 8K or so disallow the basic compression.
There are also more advanced options, such as using a CLR procedure to compress your data, or doing compression outside SQL Server. All of these answer the question "Is data compression available for the data that is stored separately?", but we don't even need to look that far. Obviously the poster and about half the respondents read about row level compression, and stopped there.
The correct answer is YES. Yes, Data compression is available for large-value data types when the data is stored off row, and in many different ways. Doesn't anyone compress their large data types ? What do people actually compress if not the biggest things, the things that (usually) benefit MOST from compression ?