As prescribed by Yahoo!, gzip\'ng files would make your websites load faster. The problem? I don\'t know how :p
Seeing how most answers here are almost 5 years old, here's some very current and up to date example references.
For example server configs that enable gzip/deflate type compression for iis, lighthttpd, nginx, and even node see: https://github.com/h5bp/server-configs
For a very good current implementation of Apache mod_deflate see
https://github.com/h5bp/html5-boilerplate/blob/master/.htaccess#L156