I have a friend who is a bit of a compulsive liar?

It's ultimately up to you. I had a friend that did that too, and it sometimes annoyed me/embarred me especially with we were with other people. I never brought it up and eventually she outgrew it. But if it bothers you that much and you would like to talk to your friend about it just do it naturally. Don't make him out to be a horrible person, or embarr him. Just talk to him and say that you are having a hard time believing some of the things he says and maybe he should think twice before compulsively lying to you or others. Decide if it's really that big of a deal to you and if it is, then talk to him. If it's not, just learn to ignore it because chances are, telling these lies is making him feel better about something in his life. Eventually he'll grow up and hopefully stop doing it.