diff -r 0fadf332f0d4 Doc/whatsnew/3.5.rst
--- a/Doc/whatsnew/3.5.rst	Fri Jun 05 21:03:52 2015 -0500
+++ b/Doc/whatsnew/3.5.rst	Tue Jun 09 13:36:56 2015 +0000
@@ -819,6 +819,10 @@
 * The UTF-32 encoder is now 3x to 7x faster.  (Contributed by Serhiy Storchaka
   in :issue:`15027`.)
 
+* Iterating over lines of :class:`~gzip.GzipFile`, :class:`~lzma.LZMAFile`,
+  and :class:`~bz2.BZ2File` objects is about 4 times faster.
+  (:issue:`18003`)
+
 
 Build and C API Changes
 =======================
diff -r 0fadf332f0d4 Lib/_compression.py
--- a/Lib/_compression.py	Fri Jun 05 21:03:52 2015 -0500
+++ b/Lib/_compression.py	Tue Jun 09 13:36:56 2015 +0000
@@ -60,6 +60,11 @@
         self._decompressor = None
         return super().close()
 
+    @property
+    def closed(self):
+        # This is polled for every operation; default implementation too slow
+        return self._decompressor is None
+
     def seekable(self):
         return self._fp.seekable()
 
diff -r 0fadf332f0d4 Lib/bz2.py
--- a/Lib/bz2.py	Fri Jun 05 21:03:52 2015 -0500
+++ b/Lib/bz2.py	Tue Jun 09 13:36:56 2015 +0000
@@ -232,6 +232,12 @@
             self._check_can_read()
             return self._buffer.readlines(size)
 
+    def __iter__(self):
+        # Shortcut to bypass the readline() method above
+        with self._lock:
+            self._check_can_read()
+            return iter(self._buffer)
+
     def write(self, data):
         """Write a byte string to the file.
 
diff -r 0fadf332f0d4 Lib/gzip.py
--- a/Lib/gzip.py	Fri Jun 05 21:03:52 2015 -0500
+++ b/Lib/gzip.py	Tue Jun 09 13:36:56 2015 +0000
@@ -371,6 +371,11 @@
         self._check_not_closed()
         return self._buffer.readline(size)
 
+    def __iter__(self):
+        # Shortcut to bypass the readline() method above
+        self._check_not_closed()
+        return iter(self._buffer)
+
 
 class _GzipReader(_compression.DecompressReader):
     def __init__(self, fp):
diff -r 0fadf332f0d4 Lib/lzma.py
--- a/Lib/lzma.py	Fri Jun 05 21:03:52 2015 -0500
+++ b/Lib/lzma.py	Tue Jun 09 13:36:56 2015 +0000
@@ -219,6 +219,11 @@
         self._check_can_read()
         return self._buffer.readline(size)
 
+    def __iter__(self):
+        # Shortcut to bypass the readline() method above
+        self._check_can_read()
+        return iter(self._buffer)
+
     def write(self, data):
         """Write a bytes object to the file.
 
diff -r 0fadf332f0d4 Lib/test/test_bz2.py
--- a/Lib/test/test_bz2.py	Fri Jun 05 21:03:52 2015 -0500
+++ b/Lib/test/test_bz2.py	Tue Jun 09 13:36:56 2015 +0000
@@ -230,7 +230,9 @@
     def testIterator(self):
         self.createTempFile()
         with BZ2File(self.filename) as bz2f:
-            self.assertEqual(list(iter(bz2f)), self.TEXT_LINES)
+            lines = iter(bz2f)
+            self.assertEqual(list(lines), self.TEXT_LINES)
+        self.assertRaises(ValueError, next, lines)
 
     def testIteratorMultiStream(self):
         self.createTempFile(streams=5)
diff -r 0fadf332f0d4 Lib/test/test_gzip.py
--- a/Lib/test/test_gzip.py	Fri Jun 05 21:03:52 2015 -0500
+++ b/Lib/test/test_gzip.py	Tue Jun 09 13:36:56 2015 +0000
@@ -123,6 +123,7 @@
         # Write to a file, open it for reading, then close it.
         self.test_write()
         f = gzip.GzipFile(self.filename, 'r')
+        lines = iter(f)
         fileobj = f.fileobj
         self.assertFalse(fileobj.closed)
         f.close()
@@ -133,6 +134,8 @@
             f.seek(0)
         with self.assertRaises(ValueError):
             f.tell()
+        with self.assertRaises(ValueError):
+            next(lines)
         # Open the file for writing, then close it.
         f = gzip.GzipFile(self.filename, 'w')
         fileobj = f.fileobj
diff -r 0fadf332f0d4 Lib/test/test_lzma.py
--- a/Lib/test/test_lzma.py	Fri Jun 05 21:03:52 2015 -0500
+++ b/Lib/test/test_lzma.py	Tue Jun 09 13:36:56 2015 +0000
@@ -912,6 +912,9 @@
         with LZMAFile(BytesIO(COMPRESSED_RAW_2),
                       format=lzma.FORMAT_RAW, filters=FILTERS_RAW_2) as f:
             self.assertListEqual(list(iter(f)), lines)
+        with LZMAFile(BytesIO(COMPRESSED_XZ)) as f:
+            line_iter = iter(f)
+        self.assertRaises(ValueError, next, line_iter)
 
     def test_readline(self):
         with BytesIO(INPUT) as f: