Compressed air does have a relatively high mechanical power storage, but it's not so great for efficiency.  Hydraulic pressure can be stored - it's called hydroelectricity (but is really hydrogravitational storage).  You can't store liquids 'under pressure' because they are essentially incompressible and hence you can't do any useful work on them.  There are large scale compressed air storage systems: http://en.wikipedia.org/wiki/Compressed_air_energy_storage

All existing large scale systems get < 50% round trip efficiency IIRC.