I believe they both use Compress::Zlib - performance should be comparable. I have never checked out mod_gzip because it's written for apache and I've never used an apache server.
WiLD is doing some performance testing and said he would report back his results.
ISAPI compression on a windows server is supposed to perform better than both, but takes a little more work to set up for dynamic files. We're using it for the static files here.
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