JPEG XL does not open in most browsers or apps yet. JPG opens on every device and is accepted by practically every upload form. JXL is at home in high-quality photo archives; JPG is the usual choice for photos you need to share, upload or print.
JPG has no transparency, so see-through areas of a JXL are filled with a solid colour, white by default; you can change it under Options. JPG holds a single still image, so an animated JXL does not stay animated. The defaults suit most files. Under Options you can set the quality, aim for a target file size and resize the result.
Camera metadata such as EXIF and GPS location is not copied into the JPG, and the photo's rotation is applied so it stays upright.