What are your movies file format? Most are already compressed formats that zipping will not compress further. Only changing their resolution, frame rates, etc will result in a significant file size difference. Run them through a utility like Movie Maker and target the device that you are going to be displaying on. If you are going for a large screen TV, then you're stuck. If you are going to display on a smaller, portable device, choose the format best for it.
It depends on what your target system is. Load up your video in Movie Maker and select File/Save Movie. You'll see a selection of target devices. Choose one. If you hove you will see the size per minute of video. So it will depend on the total size of your file.
Ztruker has a good point, though. Why not buy a bigger flash drive? You can get a 16gb for really cheap. Then you won't have to reduce the display resolution of your file.
Even a Hi res movie (blu ray rip) can produce an EXCELLENT output on a full 1080p monitor from an MKV (or even MP4) rip from around 1.88 GB. These also play excellently on laptops where the max resolution is less than the mkv rip will give you (typical laptop screens 768 X 1366).
So you should be able to get around 3 HD movies on your 4GB stick -- but quite honestly why not get a 16 GB one or even a 32 GB one or put them on a small external USB HDD.
Another idea is to have them stored on a micro SDHC card on a smartphone -- then you can play them on the phone or on the computer (the computer reads the phone sdhc card as an external drive). Play with VLC.
For ripping movies HANDBRAKE does a good job. (And it's free).
BTW I ripped a Blu Ray copy of HERCULES REBORN and added some Icelandic subtitles -- file size 1.80GB and it still plays beautifully on my TV (full HD) - far better than a "Bog standard" DVD (not Blu Ray). - Pity about the movie though it's junk !!!!
(Before transcoding / ripping a Blu ray disc you have to "de-encrypt it" - there's google references all over the web on how to do that - can't discuss here as it's against Forum rules).