Was not working for me either. On a Linux server that does support Gzip compression. Recently upgraded to WP 3.0.5.
I should clarify that I’m not sure if it was working or not but, it did generate an error in the admin interface and on the site. See below:
Warning: ob_start() [ref.outcontrol]: output handler 'ob_gzhandler' cannot be used twice in /home/content/u/s/e/username/html/wp-content/plugins/wordpress-gzip-compression/ezgz.php on line 39
UPDATE – Disregard my message above
Forgot that I had an old Gzip plugin that I was testing, still activated. Deactivated the old one and it is working now.