<p>Is there a way in PHP to compile a regular expression, so that it can then be compared to multiple strings without repeating the compilation process?  Other major languages can do this -- Java, C#, Python, Javascript, etc.</p>

I'm not positive that you can. If you check out
Mastering Regular Expressions
, some PHP specific optimization techniques are discussed in Chapter10: PHP. Specifically the use of the S pattern modifier to cause the regex engine to "Study" the regular expression before it applies it. Depending on your pattern and your text, this could give you some speed improvements.
Edit
: you can take a peek at the contents of the book using
books.google.com
.