KMZ is a compressed archive, so text editors and many scripts cannot read it directly. GeoJSON is plain JSON that web maps and GIS software read directly. KMZ is at home in KML with its icons and overlay images in one file; GeoJSON is the usual choice for points, lines and areas on the web.
Every format is read into plain GeoJSON features and written out from there, so coordinates, names and properties carry over wherever the target has a place for them. XML that declares custom entities is refused, and KMZ files are parsed without touching the network. The KML inside the KMZ is read; icons and overlay images in the archive are not carried over. Coordinates are written longitude first, then latitude, as GeoJSON requires.