I found this article http://archive.webproasp.com/webproasp-27-20080620CompressingWebResourceaxdtoReduceYourWebsiteSize.html
and it explains how to compress axd files (and js files).
I wondered if there is any advantage in doing this over letting IIS handle the compression.
Users on shared hosting often aren’t able to change the compression settings on IIS. Using http handlers allows this to be done from within the application.
If you can setup compression at the IIS level there is no reason not to.