gzip is a compression algorithm...what it does it makes the server with the website compress the information being passed to your computer browser where it already knows how to decompress it and view it.

Without gzip enabled you are viewing a webpage load before your eyes, some parts loading at their own pace. With gzip enabled it generally gives a slight stall and appears instantly all at the same time.

The server really depends on what is running on it and how you website is setup. Best thing is to look at the difference by switching it on and off.

Gzip is good for quick loading or optimized sites and bad for sites that have a lot of big pictures or slow server connections.

For the most part you want it enabled, but it really depends on your server and the needs of your site.