|Databases Are Not Compressed!|
The size of Windows Installer databases is a major reason why people don't use it (although most people are thinking of InstallShield generated "MSI"). With the tiny overhead with tools like NSIS its hard to convince them.
The database is also not compressed! It does have some very basic string compression mechanism, but ideally each database table (and binary stream) would be compressed in the database as a whole. Do not confuse this issue with file compression where the database author compresses the files and adds this compressed resource to the MSI.
Also see "Databases Contain Empty Holes!".