In the setup menu for my cable box, under the audio, it asks me what kind of compression I want, I believe they are normal and heavy, i gives no other info about what setting to choose.

the cable company is Comcast Digital Cable.

I use the tv speakers for most channel surfing but I will watch certain HD shows through the home theater in 5.1.

What should I set it to?

I'm guessing your cable box is the same as mine (a motorola DCT 6416), but I'm not completely sure that I know what it means either :) If I were to guess though, my guess would be that it is a form of dynamic range control. If that's what it is, it will help to normalize the sound level (making soft sounds louder and loud sounds softer). This is good if you are listening at low levels, but you can often set this in your receiver as well. Anyway, it's up to you whether you want to use it or not. Personally, I don't use it--mine's set to none. Of course, I could be completely wrong about what it means--maybe it has something to do with signal compression, but i wouldn't see the benefit in that. Maybe someone else can chime in with a sure answer on what it does.