By default, WordPress (at least in the current generation, 2.8) does not enable any kind of compression on its output. Some plugins, like WP Super Cache, add gzip compression, but that’s an awfully big plugin if all you want is compressed output.
All EzGz does is enable the built-in PHP gzip/deflate handler. This does require output buffering, so it’s not right for everyone. Some themes or other plugins may already do this.
I’ve tried using the zlib.output_compression ini setting, but on my server, with zlib working otherwise correctly, the setting had no effect. So I stuck with the output buffering.