If not, why not?  You have a wimpy server that can't handle the increased load or you just enjoy slowing down your end user experience?

As Jeff Atwood explains here and here, running HTTP Compression is like getting free bandwidth. 

We get a 66% reduction in file size for every bit of text served up on our web site-- including all the JavaScript, HTML, and CSS-- by simply flipping a switch on our web server. The benefits of HTTP compression are so obvious it hurts. It's reasonably straightforward to set up in IIS 6.0 , and it's extremely easy to set up in Apache.

There's a nice little tool here that you can run against any URL and see not only if it's compressed, but also what the results of compression would be. The same site has a tool for enabling compression in IIS 6.0.

Here are  some stats for the main page at GWB:

Web server type: Microsoft-IIS/6.0

Compression status: Uncompressed

Original Size: 244554 bytes

Size if Compressed: 49185 bytes

Possible Savings: 195369 bytes

Percentage saved by compression: 80.0%

Transfer speed improvement: 4.9 X

Or for the main page at my company's website:

Web server type: Microsoft-IIS/6.0

Compression status: Uncompressed

Original Size: 28167 bytes

Size if Compressed: 4701 bytes

Possible Savings: 23466 bytes

Percentage saved by compression: 84.0%

Transfer speed improvement: 5.9 X