What is TGA?

Targa dates to 1984 and refuses to die, because game engines and 3D packages standardised on it for textures and never had a reason to move. It keeps an alpha channel, optionally compresses runs of identical pixels, and is simple enough that every tool reads it.

What is JPG?

JPEG is where photographs live. Its compression is lossy - it throws away detail the eye is bad at noticing, and throws away a bit more every time you re-save - which buys huge size savings on photos and makes a mess of screenshots and text. There's no transparency in it at all.