Gzip compression compresses files on the front end to so that transferred files are smaller and therefore, load faster for visitors. This also makes it so that both the visitor and the server use less bandwidth.
Some files don't need to be compressed using gzip because they are already compressed (e.g. .pdf, .png). Compressing these file types would result in wasted resources and could possibly even increase the file size, resulting in longer load times.
This yahoo article explains the same: http://developer.yahoo.com/performance/rules.html
Specificallly, under the gzip heading: "Servers choose what to gzip based on file type, but are typically too limited in what they decide to compress. Most web sites gzip their HTML documents. It's also worthwhile to gzip your scripts and stylesheets, but many web sites miss this opportunity. In fact, it's worthwhile to compress any text response including XML and JSON. Image and PDF files should not be gzipped because they are already compressed. Trying to gzip them not only wastes CPU but can potentially increase file sizes. "