zdiff both in Fedora 7, 10 and rawhide is buggy, when both files are gzipped, it has correct exit status, but prints no output.
See http://bugs.debian.org/cgi-bin/pkgreport.cgi?package=434275
and zdiff.in.diff patch in recent debian packages.
--- gzip-1.3.12.orig/zdiff.in
+++ gzip-1.3.12/zdiff.in
@@ -104,7 +104,7 @@
                          exec 4>&1
                          (gzip -cdfq -- "$1" 4>&-; echo $? >&4) 3>&- |
                            ( (gzip -cdfq -- "$2" 4>&-; echo $? >&4) 3>&- 5<&- </dev/null |
-                              eval "$cmp" /dev/fd/5 -) 5<&0
+                              eval "$cmp" /dev/fd/5 - >&3) 5<&0
                        )
                        case $gzip_status in
                          *[1-9]*) gzip_status=1;;

Haven't checked RHEL whether the same bug exists there or not.