Question: I was just wondering, what's the difference between these file formats? Shouldn't there be just one or two that generally tend to perform superior to most others?

Answer: 
While `.z` is the oldest, as old as Unix, the most prevalent compression format is `.zip` because it is the only format supported natively by all versions and flavors of Windows since Windows 98.
I prefer compressing my data using \*.rar with WinRAR as it is completely customizable. I use it because I can choose how much I want to compress it and I can set passwords to protect my archive. If I'm doing something involving disk images, I'll compress to \*.iso or \*.daa using PowerISO. 

Whenever I'm not on one of my own computers, I compress it using Windows 7's built-in \*.zip compressor. On Ubuntu, I will probably compress in \*.tar.gz or \*.zip.