GZ is the file extension for gzip compressed files. Gzip stands for GNU zip, which is a free compression method based on the Deflate algorithm. GZ files should not be confused with zip archives. Gzip is part of almost every standard installation of Linux systems, but has no meaning on Windows and Mac OSX.
Gzip archives can in principle contain only a single file, but this can be circumvented by first combining the files with tar into a tarball and then packing them with gzip. These are usually recognized by the double ending .Tar.Gz or simply .Tgz.
GZ archives can be unpacked by just about any packer, be it Linux, Windows or Mac. This also applies to tgz files.