Yahoo! has an image optimizer called Smush.it that will drastically reduce the file size of an image, while not reducing quality.
However, if you are like me, doing this to every image would be beyond a pain, and incredibly time consuming.
Fortunately, there is an amazing, free plugin called WP-SmushIt which will do this process to all of your images automatically, as you are uploading them. No reason not to install this one.