Since the default content types cannot be altered, a custom content type is the only way to get granular control. If for instance you would like to compress all image types except .gif (which normally increase in size slightly with compression) you don't have a choice but to create a custom images content type where you add all the default image types but leave out .gif.
Here is the default TMG compression configuration
Here is a customised compression configuration
Here is the customized compression configuration post SP2 install