I agree with ichimunki that this thinking just wouldn't fly with dynamic content. You're talking about adding one more process to squeeze your data through to get it to the client. However, this wouldn't be a bad idea at all for static resources.

But what if your CGI that was generating the dynamic pages could add in signature for the CGI itself (something hinging on a sessionID or something), to indicate that the resulting pages are genuine? A simple check from the client against that tag would verify the authenticity of the replies.