Decompression is fast if you do it right (using anything from the Oodle pack is a good first step towards doing it right).
Hopefully a game doesn't need to parse a whole lot of things, however stuff needs to appear in memory, it can be stored that way on disk, possibly compressed with aforementioned fast compression libraries.
There is nothing special about loading data onto the graphics card, if you know what you are doing it is just copying data, and no point on the path is slower than disk.
I know there are games that somehow rely on thousands of shaders. Like most games you can just not do that, or you can store the compiled shaders so that the compilation only needs to be done on first run.
