although it does not seem to be documented, there is evidence that NSURLConnection does have transparent gzip support. meaning that if the server supports gzip encoding, and your request has an Accept-Encoding header containing gzip*, the server will send a gzipped response, which NSURLConnection will automatically decode.
* NSURLRequest might add that header by default. if not, you have to add it manually like so:
[urlReq setValue:@"gzip" forHTTPHeaderField:@"Accept-Encoding"]