The compressibility, zero sound dispersion, and effective mass of a gas of fermionic dipolar molecules is calculated at finite temperature for one-, two-, and three-dimensional uniform systems, and in a multilayer quasi-two-dimensional system. The compressibility is nonmonotonic in the reduced temperature, $T/T_F$, exhibiting a maximum at finite temperature. This effect might be visible in a quasi-low-dimensional experiment, providing a clear signature of the onset of many-body quantum degeneracy effects. The collective mode dispersion and effective mass show similar nontrivial temperature and density dependence. In a quasi-low-dimensional system, the zero sound mode may propagate at experimentally attainable temperatures.
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