Why isn't the Nginx Gzip Precompression module working?
Solution 1:
You didn't mention this in your question, but I have it on good authority that you are running Nginx proxied behind another Nginx on a shared host. ;)
At the time I'm writing this, Nginx's gzip modules use HTTP 1.1 by default, but Nginx can only use HTTP 1.0 when communicating with back-end servers, so the solution is to set gzip_http_version in your nginx.conf, like so:
gzip_http_version 1.0;
Restart your Nginx after making that change, and you should be in business.