I'm downloading Total War Medieval 2 from GG right now and wondering how I'm going to back this thing up as it's friggin' 13 gigs big!
Easy way, faster, bigger archives: Install WinRAR. When you download the whole game, make an archive of the files. Like, select them all, and add them to a RAR archive. Make sure to check the option for archive-splitting. Define the max size for the archives, and WinRAR will automatically take care of the rest.
Hard way, slower, smallest archives possible: Install PeaZip, and make a PAQ archive. Should bring down the game to 50MB (this is just a guess, it could be a few GBs in the end though). Although it would require you a few days to compress the damn thing. :)