Yes, zlib compression is nice
Server load is all relative - it depends just as much if not more on server hardware/software setup, number of other sites on the server and how busy they are, what else is going on on the server, etc. All you really can do is turn it on and see if the server slows down. You can talk to your hosts as well and ask them to keep an eye on the load your site is causing. Usually the savings in bandwidth outweigh the amount of extra server load it creates.