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Generally no problem as gzip (the gnu zipper) can handle zip files as well as .gz files.
If you upload the zipped file you'll need telnet or secure loging access to unzip the file on your host computer. Not all hosts let you do that. If they don't then upzip the files on your local machine and ftp the folder to the themes directory.
have fun. If you are going to be changing your theme be sure to set the 'update html from template files' in the admin menu or you'll go crazzy wondering why your changes don't take...