Yah, Winrar is the best compression utility for Windows. Well worth the money if you like that kinda thing, it has a way better GUI than WinZip and stuff.
Not tried out the Linux versions yet though... hopefully it's as good as the plethora of Zip programs out there for Linux, and hopefully just as free
There are loads of free WinZip progs out there if you look (not share or crippleware), like7-zip, dunno about the RAR situation as yet. But as always, google is your friend.