OK, let's get dirty....
The elephant in the room here is not compression, decompression, or even awful programming on the part of the clueless game developers who have never heard of speed optimizations or preloading in their lives... No. It's not.
The elephant in the room is Windows file access.
Windows doesn't just open a file and start transferring data. No. First it has to lock down the entire directory tree just to get to the file, wade through 18 layers of cached crap just because everyone in the OS development team thinks more cache is always better (hint: not!), and then, eventually, after copying the directory entry around a few times, it grabs a handle to the file. Oh no. Not done yet. Now it has to read the first block and run it through it's file-type identifier routines, yes, even though it really uses file extensions anyway... After determining that it might really just be a data file after all, it says hey, this is a jpg. I'll send it to the jpg processor and index it into the thumbnail database, because, why not do this every time.... and now, oopsies. Forgot to send it off to the virus scanner because we've only scanned this file a thousand times already, and who knows, it might have changed while no one was looking. Finally, done with virus scanning, oh crap... Wait. The searchindexer... Gotta scan the entire contents and send this thing off to the search indexer just in case the user wants to search their own computer (which has never in the history of Microsoft worked anyway!).... OK.. Identified, thumbnailed, cached, scanned, indexed, and sent off to the pre-processor for that particular filetype... Wait... we need an icon. Let's go look up the icon for that file... Phew... Maybe it's time to send some data to the game?
Turn off your searchindexer service, and disable virus scanning on your game data directory and test this yourself.
Windows file access is the problem. Windows file access is PAINFUL. Yeah, linux isn't too much better. Don't get smug.
Decompression of the file is trivial relative to the other silliness going on.
If you really want speed, then give me a raw partition. I'll slap a little UFS filesystem on it and be done.
Get the OS out of the way.