From my understanding, mod_gzip doesn't play well with ColdFusion. Also, if you are also hosting Drupal or Joomla sites, do not use the Apache mod_gzip module. It has authenticated and unauthenticated session isssues (i.e. it tries to do douple compression, thus crushing the site -- just displaying white pages). Drupal actually has a gzip module to fix this issue.
As for Apache mod_deflate, I designed a deflate.conf that can be dropped in the /etc/httpd/conf.d directory, so that is has global mod_deflate capibilities.
As an added bonus, you can also add the following line to your httpd.conf or virthost entry to actually see the deflating ratio:
CustomLog /path/to/the/deflate_log deflate