I tried converting some JPEGs I've shot with my Canon PowerShot, and I'm quite impressed with the compression/quality ratio.
Depending on the image contents the images shrunk to 1/4-1/3 of the original size with virtually no image quality loss.
You can download the command line converter and the source here. It takes an argument that should specify the image search pattern e.g. "c:\temp*.jpg" - note that is traverses all sub directories of the path specified, and the original image files are sent to the recycle bin.