Unless I am mistaken, mongodump doesn't compress or to dump all of mongo to stdout (not just a single collection). If I am mistaken, please remove this ticket.
For backups, especially if you want to dump everything at a particular point in time, something like this
would be nice. Either:
1. mongodump -C
which would compress all the files it creates.
2. mongodump --out - | gzip > my_entire_mongobackup.gz
This becomes important since large backups require lots of hard drive activity and it can be nice to use the cpu to compress the data before anything is written to disk speeding up backups.