In 5.8+ with PerlIO, you can use PerlIO::gzip.

use PerlIO::gzip;
for (glob '*.gz') {
    open my $fh, '<:gzip', $_ or die $!;
    {
        local $_;
        while (<$fh>) {
            # do stuff
        }
    }
    close $fh or die $!;
}
[download]

If you're in an earlier perl, Compress::Zlib has what you need.