WAV and BMP are not compressed as part of their formats, so it will usually reduce the file size considerably to compress it with a general compression tool. Here there can be an advantage to an algorithm that takes the file type into account, or that is more suitable to a specific file type.
MP3 on the other hand is compressed as part of saving the file format. Compressing a MP3 file will usually reduce very little from the file size and sometimes will increase the total archive size do to archive format overhead.
For a WMV container format things are more complicated, this is because the data compression can be different depending on the implementation.
In some cases, even when compressing MP3 files or files with other built-in compression (e.g. jpeg), you can achieve more compression when compressing more than one file into one archive. Also, when dealing with many files, only packing the files into a single file can save some space filesystem wise.
But those are much little differences and you should consider the time and overhead and archive size overhead depending on the reason you like to compress the files. For instance, when copying files, one large file will generally copy faster then many small ones with the same size.