Specifically I am working with IIS7, in case there are platform specific reasons, but I am curious in general.
I know gzip compression is more CPU intensive for both the server and the client, but it seems like the trade off for lower bandwidth would be overall a positive change since so much web content is highly compressable (thinking of HTML, CSS, and JS).
Compressing web content (via deflate or gzip) is a trade-off between CPU and bandwidth.
Generally speaking, the relatively low CPU investment in compression of the files is going to be of little to no impact; unless CPU is your bottleneck at all times (and, really, even if it is), compression is unlikely to have any tangible negative.
The positive is, of course, bandwidth freed up; while some content will compress much better than others, and some not at all, there's going to be at least a marginal reduction in bandwidth consumption with compression enabled.
If files are sufficiently small gzipping them may be slower than sending them uncompressed.