.gz (and .z) files are compressed using GNU gzip. You need to use gunzip (which is a symlink to the gzip command that comes with most Linux installations) to unpack the file.
.taz, .tar.Z, and .tz are tar files (made with tar) and compressed using compress. The standard *nix compress is proprietary software, but free equivalents like ncompress exist.
.tgz (or .tpz) is a tar file compressed with gzip.
.bz2 is a file compressed by the more recently introduced (and efficient) bzip2.
.lsm is a Linux Software Map entry, in the form of a short text file. Details about the LSM project and the LSM itself are available in the subdirectory on ftp://metalab.unc.edu/pub/Linux/docs/.
.deb is a Debian Binary Package—the binary package format used by the Debian GNU/Linux distribution. It is manipulated using dpkg and dpkg-deb (available on Debian systems and from ftp://ftp.debian.org//).
.rpm is a Red Hat RPM package, which is used in the Red Hat and similar distributions.
.sit is a compressed Macintosh archive made with StuffIt, a commercial program. Aladdin Systems Inc., the manufacturer of StuffIt, has a free expander utility that will uncompress these archives. You can download it at http://www.aladdinsys.com/expander/.
The file command can often tell you what a file is.
If you find that gzip complains when you try to uncompress a file, you probably downloaded it in ASCII mode by mistake. You must download most things in binary mode: "get," to download the file.