Chunking doesn't really affect the compression ratio per se, except in the manner @Ümit describes. What chunking does do is affect the I/O performance. When compression is applied to an HDF5 dataset, it is applied to whole chunks, individually. This means that when reading data from a single chunk in a dataset, the entire chunk must be decompressed - possibly involving a whole lot more I/O, depending on the size of the cache, shape of the chunk, etc.
What you should do is make sure that the chunk shape matches how you read/write your data. If you generally read a column at a time, make your chunks columns, for example. This is a good tutorial on chunking.