Setting up a VPN for the explicit purpose of saving bandwidth, is probably going to waste more of your time than it is going to save you money. The majority of popular websites out there today already already provide a mobile version of the site which is stripped down and made as efficient as possible, and also implement gzip compression on-the-fly. VPN compression algorithms use similar compression techniques as gzip, and as a result the result is that you really don't see a whole lot of bandwidth savings... and typically you actually see an increase in bandwidth consumption as every packet now needs to be encapsulated inside another packet to be passed through a VPN. A lot of this will also depend greatly on the kind of VPN you setup. (sslvpn/opevpn will have a great deal more overhead when compaired with IPSEC + L2TP or PPTP)
I do actually maintain a BES (blackberry enterprise server) here in my office, and doing a quick glance at my performance counters & such... I see less than a 0.2% bandwidth savings with compression turned on.
VPNs are designed to secure your data, not for data compression. If you really are worried about trying to optimize your bandwidth, you should really look at the kind of data you're focusing on. Traffic like HTTP can be routed through a proxy server that can do a much better job of compressing data and/or caching it (by either adding expires tags, or setting up a local proxy cache on the phone), as well as stripping out things like advertisements & unneeded iframes & such.