Mark discusses mod_gzip. We’ve been using it for years at work and although it does have some minor problems with certain browsers (gzipped content sometimes doesn’t get unzipped).
All I can say is that our bandwidth usage is just a fraction of what it might be without mod_gzip.
Now, does anyone know how to make Java applets talk gzip? If we could feed gzipped data to our applets that’d help enormously.