This is similar to a previous question, but the answers there don\'t satisfy my needs and my question is slightly different:
I currently use gzip compression for som
bgzip can compress files in a gzip variant which is indexable (and can be decompressed by gzip). This is used in some bioinformatics applications, together with the tabix indexer.
See explanations here: http://blastedbio.blogspot.fr/2011/11/bgzf-blocked-bigger-better-gzip.html, and here: http://www.htslib.org/doc/tabix.html.
I don't know to what extent it is adaptable to other applications.