6.6MB down to 262KB. There is absolutely no change in quality of the picture either.
http://img396.imageshack.us/img396/7294/explosion2hs3.jpg
Yes, there is. You can't compress something that much without removing data from the image.
Same thing with ripping an MP3 from a lossless source.
Jpeg is lossy and bmp is lossless. Do a google search for yourself and see. Any time you go with a lossy format some quality is lost. The amount will vary.