If all the files are in the same directory, then:
bzip2 *
Enough. More robust approach:
find . -type f -exec bzip2 {} +
Which compresses each file in the current directory and its subdirectories and will work even if you have tens of thousands of files (using * will break if there are too many files in the directory).
If your computer has multiple cores, you can improve this by compressing multiple files at once. For example, if you want to compress 4 files at a time, use:
find . -type f -print0 | xargs -0 -n1 -P4 bzip2
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