Our favicon .ico files have gotten larger recently with a bump in resolution and color/alpha depth. While they look great, they've also expanded from a couple kb to for instance 15kb for Wikipedia:
https://en.wikipedia.org/static/favicon/wikipedia.ico
These .ico files gzip very well, however (they're either uncompressed or simple run-length encoding bitmaps, as I recall) and gzip takes that file back down to 2.5kb nicely.
Having the web server auto-gzip the .ico files might be a nice small bandwidth savings, especially on mobile networks.