Yes, it would still GZIP your files and put them on a CDN, which is still usually much faster than your hosted server which is executing PHP and MySQL queries since all the CDN does is serve files and it's optimized for that.
Also, just the fact that the files are loading from a separate domain will increase the load time. For instance, if you have 20 files on a specific page load and some load from your current site and some load from a different domain such as a CDN, you'll have a faster load time because Chrome and Firefox only allow for 6 files to be downloaded from a domain at a time and IE allows for 2.
You may also see a speed increase from your local server not dealing with the file requests as well.