You can use the streaming option for compression. You can stream to tar using --compress-program=pigz for example and get multiple core compression if you have resources for it.
for example (I didn’t look up the command line args, they might be somewhat different, you should get the gist):
innobackupex-1.5.1 /tmp/backup --stream=tar4ibd --slave-info | pigz > backup.tar.gz
This won’t back up the slave binary logs or relay logs. They would likely change during the copy, and there is no locking mechanism for these files to prevent that from happening.
Instead, you can make your script automatically issue a CHANGE MASTER TO command based on the xtrabackup_slave_info (or whatever) file it produces.