Recently, I was troubleshooting performance issues on a few different websites, and was stymied by the fact that YSlow repeatedly reported an F for "Compress components with gzip," even though online sites like GIDNetwork's Gzip test were reporting successful Gzipping of text components on the site.
Yslow results - not very happy.
After scratching my head for a while, I finally figured out the problem, hinted at by a comment on a question on Stack Overflow. Our work's proxy server was blocking the 'Accept-Encoding' http header that is sent along with every file request; this prevented a gzipped transfer of any file, thus Yslow gave an F.
I set up a secure tunnel (using SSH) from my computer to the web server directly, and then reloaded the page in FireFox, and re-ran YSlow: