If you want to manually test that your webservers compression is working (i.e. gzip), I worked out that you can run the following.
wget --header 'Accept-Encoding: gzip,deflate' http://www.example.com
curl -H 'Accept-Encoding: gzip,deflate' http://www.example.com
You will end up with the a whole bunch of gobbly gue, but if you pipe it to gunzip you will see your data.
The real reason for my investigation into this, was that I was looking for a method to speed up my download process.
I think making use of 'Accept-Encoding: gzip,deflate', works and works very well.