WinRAR allows you to select files to store without compression, under the Files tab when you make a new archive. I don't believe it supports wildcarding, however - but the included Rar.exe cli tool should be easily scriptable to do this.

Avoiding fragmentation

The secret is to not write uncompressed files on the disk to begin with.

Indeed, after you compress an already existing large file it will become horrendously fragmented due to the nature of the NTFS in-place compression algorithm.

Instead, you can avoid this drawback altogether by making OS compress a file's content on-the-fly, before writing it to the disk. This way compressed files will be written to the disk as any normal files - without unintentional gaps. For this purpose you need to create a compressed folder. (The same way you mark files to be compressed, you can mark folders to be compressed.) Afterwards, all files written to that folder will be compressed on the fly (i.e. written as streams of compressed blocks). Files compressed this way can still end up being somewhat fragmented, but it will be a far cry from the mess that in-place NTFS compression creates.

Example

NTFS compressed 232Mb system image to 125Mb:

• In-place compression created whopping 2680 fragments!
• On-the-fly compression created 19 fragments.

Defragmentation

It's true that NTFS compressed files can pose a problem to some defragment tools. For example, a tool I normally use can't efficiently handle them - it slows down to a crawl. Fret not, the old trusty Contig from Sysinternals does the job of defragmenting NTFS compressed files quickly and effortlessly!