Amazon Redshift
Database Developer Guide (API Version 2012-12-01)
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Loading gzip or lzop Compressed Data Files from Amazon S3

To load data files that are compressed using gzip, include the GZIP option. To load data files that are compressed using lzop, include the LZOP option.

copy customer from 's3://mybucket/customer.lzo' 
credentials 'aws_access_key_id=<access-key-id>;aws_secret_access_key=<secret-access-key>' 
delimiter '|' lzop;

If you use the GZIP option or LZOP option, ensure that all data files being loaded are gzip or lzop compressed. COPY does not support files compressed using the lzop --filter option.