Here the results of my tries :
papounet@P4Karmic:~/Sheeva/squeeze-test$
papounet@P4Karmic:~/Sheeva/squeeze-test$dd if=uInitrd of=zInitrd bs=64 skip=1
84721+1 enregistrements lus
84721+1 enregistrements écrits
5422197 octets (5,4 MB) copiés, 0,98559 s, 5,5 MB/s
papounet@P4Karmic:~/Sheeva/squeeze-test$
papounet@P4Karmic:~/Sheeva/squeeze-test$ mkdir uInitrd-extract
papounet@P4Karmic:~/Sheeva/squeeze-test$ cd uInitrd-extract
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$ cp ../zInitrd zInitrd.gz
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$ ls
zInitrd.gz
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$ ls -l
-rw-r--r-- 1 papounet papounet 5422197 2010-06-12 05:10 zInitrd.gz
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$ gzip -d zInitrd.gz
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$ ls
zInitrd
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$ ls -l
-rw-r--r-- 1 papounet papounet 12761088 2010-06-12 11:12 zInitrd
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$ cpio -id <zInitrd
24924 blocs
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$ ls
bin conf etc init lib sbin scripts zInitrd
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$ ls -l
total 12496
drwxr-xr-x 2 papounet papounet 4096 2010-06-12 11:14 bin
drwxr-xr-x 3 papounet papounet 4096 2010-06-12 11:14 conf
drwxr-xr-x 4 papounet papounet 4096 2010-06-12 11:14 etc
-rwxr-xr-x 1 papounet papounet 5137 2010-06-12 11:14 init
drwxr-xr-x 4 papounet papounet 4096 2010-06-12 11:14 lib
drwxr-xr-x 2 papounet papounet 4096 2010-06-12 11:14 sbin
drwxr-xr-x 5 papounet papounet 4096 2010-06-12 11:14 scripts
-rw-r--r-- 1 papounet papounet 12761088 2010-06-12 11:12 zInitrd
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$
papounet@P4Karmic:~/Sheeva/squeeze-test/uInitrd-extract$ cd ..
papounet@P4Karmic:~/Sheeva/squeeze-test$
papounet@P4Karmic:~/Sheeva/squeeze-test$ dd if=uImage of=zImage bs=64 skip=1
22362+1 enregistrements lus
22362+1 enregistrements écrits
1431196 octets (1,4 MB) copiés, 0,307175 s, 4,7 MB/s
papounet@P4Karmic:~/Sheeva/squeeze-test$
papounet@P4Karmic:~/Sheeva/squeeze-test$ mkdir uImage-extract
papounet@P4Karmic:~/Sheeva/squeeze-test$ cd uImage-extract
papounet@P4Karmic:~/Sheeva/squeeze-test/uImage-extract$ cp ../zImage zImage.gz
papounet@P4Karmic:~/Sheeva/squeeze-test/uImage-extract$ gzip -d zImage.gz
gzip: zImage.gz: not in gzip format
papounet@P4Karmic:~/Sheeva/squeeze-test/uImage-extract$
papounet@P4Karmic:~/Sheeva/squeeze-test/uImage-extract$ cd ..
papounet@P4Karmic:~/Sheeva/squeeze-test$
Effectively, uInitrd is a gzipped archive, but not uImage.
Do I have to gzip uImage before run mkimage ?