I have found a discussion on this forumn about compressed air. (http://cr4.globalspec.com/thread/3237)
The idea was basically to make compressed air with electricity to then produce electricity from compressed air which of course will necessarily result in energy loss and doesn't make any sense.
Now, if you were to use say wind power to produce compressed air that is a different story and it would then make sense to produce electricity from it.
But since compressed air is basically mechanical energy it is much more efficient to use it for mechanical tasks like for example running a car (http://www.theaircar.com/). In terms of energy carrier and storage it is much better in my view than fancy yet complicated and expensive hydrogen fuel cells. Besides running a car there is much you can do with compressed air (sandblasters and paint guns are obvious ones) but why not a drill or even a washing machine (most of the energy is in the spinning isn't it?).
JF