This is an old question, but it still ranks #1 in Google for me, so I suppose a proper answer might be of use to someone beside me.
The solution turns out to be very simple. in the do_GET(), do_POST, etc, you only need to add the following:
content = self.gzipencode(strcontent)
...your other headers, etc...
self.send_header("Content-length", str(len(str(content))))
self.send_header("Content-Encoding", "gzip")
self.end_headers()
self.wfile.write(content)
self.wfile.flush()
strcontent being your actual content (as in HTML, javascript or other HTML resources)
and the gzipencode:
def gzipencode(self, content):
import StringIO
import gzip
out = StringIO.StringIO()
f = gzip.GzipFile(fileobj=out, mode='w', compresslevel=5)
f.write(content)
f.close()
return out.getvalue()