KMZ is a compressed archive, so text editors and many scripts cannot read it directly. GPX is read by practically every GPS device and fitness app. KMZ is at home in KML with its icons and overlay images in one file; GPX is the usual choice for GPS tracks, routes and waypoints.
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. Points become waypoints and lines become tracks; GPX has no areas, so polygon outlines are written as track segments. Elevation and time are kept.