Morten Nielsen created a great solution for adding GZIP support for your http requests in a Windows Phone application.
http://www.sharpgis.net/post/2011/08/28/GZIP-Compressed-Web-Requests-in-WP7-Take-2.aspx

This works in a lot of situations, but not when you're using AgFx for your requests. Below you can find a WebLoadRequest implementation for AgFx which has support for GZIP.

For this solution to work, you'll have to include a reference to Ionic.Zlib.dll which can be found here:
http://dotnetzip.codeplex.com/