Look at jQuery as an example[0]. gzip only saves you 4-5% over minification alone, but combining both techniques you save a further 20%. If you're not doing both you're leaving a lot on the table.

It's the same story compressing other material. 7-zip has filters to preprocess x86 and IA64 machine code to make it more amenable to LZMA, and such filters can get you a further 10-15%.

[0] https://mathiasbynens.be/demo/jquery-size