When a user hits your website a call is made to your server to deliver the requested files.
The bigger these files are the longer it’s going to take for them to get to your browser and appear on the screen.
Gzip compresses your webpages and style sheets before sending them over to the browser. This drastically reduces transfer time since the files are much smaller.
In terms of cost versus benefit, gzip compression should be near the top of your page speed optimizations if you don’t have it setup already.