Does Redis Db has built-in compression option

No, there isn't any runtime compression option. However, as dan-boa said - it might be a good idea to implement compression on your application side. Doing it that way will let to save CPU on the Redis server. Your Database server won't be affected of cpu time needed for compression.

In one of our Redis cluster we saved like 82% of memory (from circa 340GB to 60GB) thanks to GZIPing our json-based blobs. Some more thoughts about it and other ways of optimizing memory usage can be found in our article:

http://labs.octivi.com/how-we-cut-down-memory-usage-by-82/

Note: link moved to archive.org backup

Redis uses LZF light data compressor at the dump time, so it won't lessen the memory consumption. Implying that the redis does not compresses the data in memory and stores it as a string.You must deploy your own client side compression code.
The lua scripting also provides the compression algorithm but the branch is relatively new and therefore won't be advisable to use at production level.