I am aware that nsd 4.5 has gzip support, and I have been happily using rlreturnz under aolserver3.3 for a long time, but I recently wanted to add gzip encoding to a 40r10 site.
The simplest solution I came up with was Jeff Davis' nsreturnz, which seems to be newer than the nsreturnz in aolserver cvs. It's not linked from the xarg website pages, but is hosted there - see the following mailing list archive for more:
[AOLSERVER] encoding aware nsreturnz
Since 40r10 is specifically in common use with oacs I thought I'd ask here if others have different/better approaches.
Note that this is for gzip compressing live content. I recently posted on efficiently serving pre-compressed static content with apache:
HOWTO: serve pre-compressed /resource/ files directly from your apache proxy