Ziproxy is hogging my DNS!
Currently Ziproxy does not have an internal name cache so, for each request it receives, it will try to resolve the hostname.
If your Ziproxy instance serves many users it may be a problem indeed.
You may solve this simply installing a local name cache (a simple one - not a full DNS - will suffice).

The pictures seem to come somewhat slower, specially with high-latency links.
Currently Ziproxy does not support persistent HTTP connections. While this doesn't usually hurt WAN acceleration, single clients per link may perceive a serialization effect of pictures so it feels slower.
A workaround is to increase the maximum simultaneous connections per proxy (or server, if Ziproxy is running as a transparent proxy) in your web browser, and to disable pipelining and keep-alive. Firefox is one browser which supports such settings.

Will Ziproxy ever cache pages? What if I need caching aswell?
There are no plans for such feature.
You may chain a caching proxy (such as Squid) to Ziproxy in order to have such capability.

Why is Ziproxy not gzipping text/html files sent to Squid?
Squid does not support gzip. Ziproxy detects that and does not gzip data sent to Squid.
You may chain another Ziproxy (where appropriate) in order to "add" gzip capability to Squid.

Chaining Squid to Ziproxy does not work or it behaves strange.
See this page, section 6. It explains how you should configure Squid in order to chain it to Ziproxy.
The other way around (Ziproxy to Squid) requires no special configuration.

The pictures look awful after compression!
Ziproxy recompresses the pictures in order to reduce their sizes, naturally some quality loss is expected.
You may customize the quality settings in order to match your taste.
Also, you may try using JPEG 2000 instead of conventional JPEG for better quality. Here is a tutorial on this.

Can I run Ziproxy in a 16MB RAM 66Mhz MIPS-based router? (or some limited hardware like that)
If it runs an unix-ish OS, most probably you can (and some people do!).
Although Ziproxy is quite optimized, it cannot do miracles with slow hardware. Please have reasonable expectations.

Does Ziproxy provide QoS / traffic shaping?
Ziproxy does provide ToS marking based on certain HTTP characteristics of each request. It's an optional feature, you must enable and configure that.
ToS marking alone does nothing, though. You'll need routers and/or servers which treat the ToS-marked traffic differently, in order to implement QoS.
In other words, Ziproxy is part of the solution.