For static files (e.g. try_files or root) etag creation is enabled by default (no need to etags on;). They will respond with a header ETag: "5620b4ae-367640".
Prior to 1.7.3 no etags were delivered when using gzip. Since 1.7.3 nginx will change "strong" to "weak" ones. The header will look like this: ETag: "W/5620b4ae-367640". Nginx still used the hash of the original file (and not the gzipped on) and prefix it with a "W/".
Nginx does not create etags for proxied servers. You need to take care of this.
When the proxied server responds with a "ETag" header, nginx will transform it to a weak etag (read above).