If you have PerlIO enabled (default in 5.8+), you can use PerlIO::gzip:

use PerlIO::gzip;
open my $fh, '<:gzip', '/path/to/file.gz' or die $!;
while (<$fh>) {
    # do stuff
}
close $fh or die $!;
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Update: Typo fixed, thanks, Roy Johnson++.