Why can't I seem to enable gzip compression?

I’ve been trying a number of methods to enable gzip compression lately, but none of them seem to be working. First, I installed W3 Total Cache, but that didn’t work. Then I manually added the appropriate code to my .htaccess file, but that didn’t work either. In fact, the only thing that has worked is Force Gzip – but my site speed halved after activating that.

My server is Apache and Bluehost tell me they do allow gzip compression. So why is this so difficult? And what can I do to solve this problem?

Thanks, James