The GPX format is an open XML format which can be read by a wide range of applications. See
this page for more info, including a link to a list of these applications.
KML stands for Keyhole Markup Language which is also an XML format used by various applications for visualisation of geographic data, Google Earth probably being the most popular. A KMZ file is simply the zipped (compressed) form of a KML file.
Read here for more info.
Note that Google Earth can also load GPX files, and for this reason most of the KML/KMZ files on this site will be phased out, since they mostly just duplicate data.
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