Perhaps even more importantly than not recompressing... If Nginx is reading gzipped files, rather than full size files, it reduces the pressure on filesystem cache. This increases the odds that the system won't have to go to the disk to find the requested resource.
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I would also recommend that you gzip any static assets and use http://wiki.nginx.org/HttpGzipStaticModule to serve these pre-gzipped files.
No point in re-compressing the same files over and over again. I normally gzip all static assets as part of the deployment process.
Perhaps even more importantly than not recompressing... If Nginx is reading gzipped files, rather than full size files, it reduces the pressure on filesystem cache. This increases the odds that the system won't have to go to the disk to find the requested resource.
Using this module and WP-supercache's gzipping feature has made a wordpress blog network I run astonishingly fast.