For automotive use, methane gas-I have read- boasts 104 octaine, and a current dollar to gallon equivelent of about $2.10 / gallon. There are many other aspects of the material that can be Googled, including safety as stored and used in automotive application, where it rates very high- even over liquid gasoline. Most conviently, it is pumped into many of our homes!
At 3500 psi, the non-liquified gas can be stored in a high pressure vessle that is certified for that specific use- generally, a specialized fiber reinforced aluminum alloy tank- not that much different fro an aqua-lung tank.
There are companies (one in England) that manufacture a home-based compressor that(when installed according to local codes) can compress an equilelent amount of methane to offer the average car 200 miles of travel overnight. It is expensive.
What are the dangers, and considerations of compressing natural gas to these high pressures? What sort of compressor is used? If you pumped it into a vessle formerly made for containing air, or oxygen- would there be a "giant light in the sky over residential sector R"? to paraphrase an infamous quote. What would a safe home compressor be made from?