How can I run a command on all files with the extension .gz?

Often a command already accepts several files as arguments, e.g. 

    zcat -- *.gz

On some systems, you would use gzcat instead of zcat. If neither is available, or if you don't care to play guessing games, just use gzip -dc instead.

The -- prevents a filename beginning with a hyphen from causing unexpected results.

If an explicit loop is desired, or if your command does not accept multiple filename arguments in one invocation, the for loop can be used: 

    # Bourne
    for file in *.gz
    do
        echo "$file"
        # do something with "$file"
    done

To do it recursively, you should use a loop, plus the find command: 

    # Bash
    while read file; do
        echo "$file"
        # do something with "$file"
    done < <(find . -name '*.gz' -print)

For more hints in this direction, see FAQ #20. To see why the find command comes after the loop instead of before it, see FAQ #24.