For a compressed backup:
MYSQL_PWD=`cat /etc/psa/.psa.shadow` mysqldump -u admin DATABASE_NAME | bzip2 -9 > /full/path/to/BACKUP_FILE_NAME.sql.bz2
or
MYSQL_PWD=`cat /etc/psa/.psa.shadow` mysqldump -u admin DATABASE_NAME | gzip -9 > /full/path/to/BACKUP_FILE_NAME.sql.gz