What is KML?

Google Earth's format, and the reason it looks good - unlike GPX or GeoJSON it carries styling, so lines have colours and placemarks have icons. Still XML underneath, and still the thing to convert to when someone wants to see a route draped over terrain.

What is KMZ?

A zipped KML, sometimes with icons and images bundled alongside. It's what Google Earth hands you when you export, and it's a single attachment rather than a folder, which is most of the appeal.