With Perl 5.8, you can also use PerlIO::gzip and read/write gzip data though an IO layer -- e.g. here's a script that reads a gzipped file, numbers the lines, and writes the result to a new gzipped file:

use PerlIO::gzip;

open IN, "<:gzip", "somefile.gz" or die "$!\n";
open OUT, ">:gzip", "numbered.gz" or die "$!\n";
while (<IN>) {
    print OUT join " ", ++$i, $_;
}
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(God, I love it!)

UPDATE: (2010-10-18) It seems that PerlIO::gzip should be viewed as superseded by PerlIO::via:gzip. (see PerlIO::gzip or PerlIO::via::gzip).