I don't know why it's not installed here, but I didn't remove it
intentionally.
"here" is a Linux machine with Ubuntu 8.04.3 (hardy) LTS.
One reason might be that I just have a limited number of program
installed and zlib is probably a dependency of some popular packages and
hence it's found in most of the machines.

When I compiled Python I got this message, so I think that Python
expects zlib to be already there:
Python build finished, but the necessary bits to build these modules
were not found: _dbm _gdbm _hashlib _sqlite3 _ssl _tkinter bz2 zlib