It does not make any sense at all to zip any documents to read them on an eBook reader afterwards.
First of all, most documents are already compressed somehow. epub is essentially a compressed archive of .html files, PDF is also heavily compressed text, as is Microsoft's docx format (essentially this is compressed xhtml, as far as I remember).
Zipping a book document such as the above further would not give you any advantages size-wise but only take longer to decompress and thus display.
For example, I just tried compressing as 12.5 MByte PDF document using xz (using the very strong lzma algorithm). I took 5 seconds to compress/decompress on a Intel i5 and got me a document about 500 KByte smaller...
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