After enabling mod_gzip I noticed that it wasn't compressing the output of some CGI scripts. In the logs I was seeing:
This seemed strange because I had the following entry in my httpd.conf:
mod_gzip_item_include mime ^text/html$
After looking at what was going on (thanks to livehttpheaders) I figured out that I wasn't sending "text/html", I was sending "Content-Type: text/html; charset=ISO-8859-1" which the regexp didn't match. Changing it to the following fixed the problem.
mod_gzip_item_include mime ^text/html