You have to tell the Closure compiler what not to optimize.
I do this with online compiler( http://closure-compiler.appspot.com/home ) by adding a externs_url paramater. When You type in your code on the online compiler it will automatically append a header similar to this, but without an externs_url param by default.
// ==ClosureCompiler==
// @output_file_name default.js
// @compilation_level ADVANCED_OPTIMIZATIONS
// @externs_url https://closure-compiler.googlecode.com/git/contrib/externs/jquery-1.9.js
// ==/ClosureCompiler==
You can see what extern files are currently available at https://code.google.com/p/closure-compiler/source/browse/contrib/externs/ . They have most all versions of jQuery.
To do this with the downloadable Java version of the compiler you can just pass the --externs_url paramater on the cli or download the extern file you need and pass that filename with --externs paramater like in Palmerlee's answer.
If you are interested in why you can't just turn on advanced optimizations read through http://code.google.com/closure/compiler/docs/api-tutorial3.html