A number of engineering and scientific problems require representing and manipulating probability distributions over large alphabets, which we may think of as long vectors of reals summing to $1$. In some cases it is required to represent such a vector with only $b$ bits per entry. A natural choice is to partition the interval $[0,1]$ into $2^b$ uniform bins and quantize entries to each bin independently. We show that a minor modification of this procedure -- applying an entrywise non-linear function (compander) $f(x)$ prior to quantization -- yields an extremely effective quantization method. For example, for $b=8 (16)$ and $10^5$-sized alphabets, the quality of representation improves from a loss (under KL divergence) of $0.5 (0.1)$ bits/entry to $10^{-4} (10^{-9})$ bits/entry. Compared to floating point representations, our compander method improves the loss from $10^{-1}(10^{-6})$ to $10^{-4}(10^{-9})$ bits/entry. These numbers hold for both real-world data (word frequencies in books and DNA $k$-mer counts) and for synthetic randomly generated distributions. Theoretically, we set up a minimax optimality criterion and show that the compander $f(x) ~\propto~ \mathrm{ArcSinh}(\sqrt{(1/2) (K \log K) x})$ achieves near-optimal performance, attaining a KL-quantization loss of $\asymp 2^{-2b} \log^2 K$ for a $K$-letter alphabet and $b\to \infty$. Interestingly, a similar minimax criterion for the quadratic loss on the hypercube shows optimality of the standard uniform quantizer. This suggests that the $\mathrm{ArcSinh}$ quantizer is as fundamental for KL-distortion as the uniform quantizer for quadratic distortion.