Just make sure the "Accept-Encoding: gzip" is being passed to your back-end, and let the back end do the compression. We actually normalize the Accept-Encoding header as well with an if statement. Also use the value of the Accept-Encoding header in your proxy_cache_key. This allows non-cached responses for those clients that don't support gzip (usually coming through an old, weird proxy). So you will get both compressed and uncompressed versions in your cache, but with our clients it's like 99% compressed versions at any one time.

Example:

server {

#your server stuff here

#normalize all accept-encoding headers to just gzip
set $myae "";
if ($http_accept_encoding ~* gzip) {
set $myae "gzip";
}

location / {
proxy_pass http://backend;
#the following allows comressed responses from backend
proxy_set_header Accept-Encoding $myae;

proxy_cache zone1;
proxy_cache_key "$request_uri $myae";
proxy_cache_valid 5m;
proxy_cache_use_stale error updating;

}



}