there is certainly compression with any lossless codec. If not, you would just be writing uncompressed video, which is just plain silly
In a truly lossless codec (or codec mode like x264's) the output of the decoder is mathematically identical to the input to the encoder. In other words, what comes in, goes out, bit for bit. Sometimes this is not EXACTLY true, but the difference is so insignificant it's not even worth discussing.
There are lots of good lossless codecs like HuffYUV, Lagarith, x264 in lossless mode, MSU lossless, FFV1 etc...
IIRC the fastest out there is HuffYUV - so its a great option for live capture. The others can be really slow, but can offer higher compression ratios.
All this has been discussed before
~MiSfit