Using the GZipProcessor from
http://techknack.net/python-urllib2-handlers/, it's actually really easy to implement.
Some fairly cursory testing seems to indicate that there's no real improvement for ff.net. And several of our supported sites won't send us gzip (looks like it's due to User-Agent). I did see ~30% improvement with TtH, though.
That's as much effort as I'm going to put into it tonight.