What are the differences between the Gzip, Lzma, Xz and Lzop compression
 

In the Kernel configuration, under the General configuration, is possible to select the prefered kernel compression. But what's the difference between this options?

It compresses the kernel image using a different algorithm.

gzip is the standard because it unzips very fast and provides decent compression.
lzma and xz provide maximum compression, not recommended if you have a slow computer.
lzop is supposedly faster than gzip...
http://www.linuxjournal.com/node/8051/print
http://aliver.wordpress.com/2010/06/...of-datagraphs/

So, which one should I choice? And why the kernel image dimension is so important?

When you boot, the kernel image is decompressed and loaded into RAM.

There is a balance between compression ratio and decompression speed. If you have a slow computer it's best to use gzip or lzop because they don't require much CPU time. If you have a fast computer you may want to use xz or lzma because your CPU is fast and can decompress it quickly.

In reality I doubt it makes much difference, except on slow machines, where you would always want to use gzip or lzop.

Thanks for the help.