What all passes through the infrastructure, and what is BIS?
I figure probably BBM, email and the browser, but again, what about apps. Do RIMs apps go through the compression but third party do not? Can third party devs include a way for their apps to go through the infrastructure?
The BB has several transports available to apps, dependent upon how it's provisioned. It can have BIS, BES, MDS(I think this is EoL now though), Direct HTTP and Direct TCP. The app author can decide which of these he uses, most often the setting is set to auto and the best option based upon the device config is used. I'm not sure if this is a simple API call, but that's too deep for this thread.
To answer your question, all data can travel and be compressed over the RIM infrastructure, third party or otherwise, but the third party has the option to use the Direct(HTTP/TCP) method, which will not be compressed as it uses the carrier APN.