.htaccess

# Add correct content-type for fonts 
AddType application/vnd.ms-fontobject .eot
AddType font/ttf .ttf
AddType font/otf .otf
AddType font/x-woff .woff
AddType image/svg+xml .svg

# Compress compressible fonts
AddOutputFilterByType DEFLATE font/ttf font/otf image/svg+xml

# Add a far future Expires header for fonts
ExpiresByType application/vnd.ms-fontobject "access plus 1 year"
ExpiresByType font/ttf "access plus 1 year"
ExpiresByType font/otf "access plus 1 year"
ExpiresByType font/x-woff "access plus 1 year"
ExpiresByType image/svg+xml "access plus 1 year"

nginx.conf

# Add correct content-type for fonts 
types {
  application/vnd.ms-fontobject eot;
  font/ttf ttf;
  font/otf otf;
  font/x-woff woff;
  image/svg+xml svg;
}

# Compress compressible fonts
gzip on;
gzip_comp_level 9;
gzip_types font/ttf font/otf image/svg+xml;

# Add a far future Expires header for fonts
if ($request_uri ~* "\.(eot|ttf|otf|woff|svg)$") {
  expires max;
}

web.config

<system.webServer>

   <!-- Add correct content-type for fonts -->
   <staticContent>
      <mimeMap fileExtension=".eot" mimeType="application/vnd.ms-fontobject" />
      <mimeMap fileExtension=".ttf" mimeType="font/ttf" />
      <mimeMap fileExtension=".otf" mimeType="font/otf" />
      <mimeMap fileExtension=".woff" mimeType="font/x-woff" />
      <mimeMap fileExtension=".svg" mimeType="image/svg+xml" />
   </staticContent>

   <!-- Compress compressible fonts -->
   <httpCompression>
      <scheme name="deflate" dll="%Windir%\system32\inetsrv\gzip.dll" />
      <staticTypes>
         <add mimeType="font/ttf" enabled="true" />
         <add mimeType="font/otf" enabled="true" />
         <add mimeType="image/svg+xml" enabled="true" />
      </staticTypes>
   </httpCompression>

   <!-- Add a far future Expires header for fonts -->
   <!-- (There doesn't appear to be a way to do this for individual types, or to set based on access time, so we're setting it to 1 year in the future for all static content) -->
   <staticContent>
      <clientCache httpExpires="Mon, 24 Jan 2012 00:00:00 GMT" cacheControlMode="UseExpires" />
   </staticContent>

</system.webServer>

Hey thanks for this! It really helped :)

Hi, great thanks! :-)

AddOutputFilterByType DEFLATE font/ttf font/otf image/svg+xml

This increased total transfer data in my case, js, css... are ignored to compress

It should be font/woff for .woff and font/woff2 for .woff2 👍
https://www.w3.org/Fonts/REC-WOFF-20121213-errata.html
https://tools.ietf.org/html/rfc8081#section-4.4.5