It's a little-known fact that CloudFront supports GZip just fine, so long as you're using pull from custom origin (like most people are).
You just need to configure your origin servers to serve GZip even to HTTP 1.0 (which is what CF requests will come as) and set the "Vary: Accept-Encoding" header to prevent users of old IE versions from having GZip'd content they don't support stuffed down their throats.
For example, this is my nginx configuration which serves both GZip'd and non-GZip'd versions of the same objects via CF. The second and third lines are the most important for correct AWS CF GZip distribution:
gzip on;
gzip_vary on;
gzip_http_version 1.0;
gzip_comp_level 4;
gzip_proxied any;
gzip_types text/plain text/css application/x-javascript text/xml application/xml application/xml+rss text/javascript image/png;
gzip_disable "MSIE [1-6]\.";