This article is from the Amiga FAQ, by Ignaz Kellerer with numerous contributions by others.
Most endings on FTP sites or Fish disks tell you that the file is compressed and/or is an archive containing more than one file. Some programs even archive whole disks. Frequently found endings and programs to handle the related files are: *.sfx* Compressed archives which are included in an executable program: Just call the program and it will extract itself (sfx = self extract)
*.lha* *.lzh* Compressed archives; recommended: LhA (`util/arc/LhA_e138.run' on Aminet or Fish disk 715) or Lx (`util/arc/lx100.lha' on Aminet), Unix version available (`misc/unix/lha-1.00.tar.Z')
*.dms* Disks compressed using DMS (`util/arc/dms111.sfx' on Aminet or Fish disk 406)
*.zom* Disks compressed using Zoom (`util/arc/Zoom_5.4.lha' on Aminet, Fish disk 682); an older version which you probably need for uncompressing PasTeX is found on Fish disk 459.
*.zoo* Compressed archive; recommended: Zoo (`util/arc/zpp2-10.lzh' on Aminet or Fish disk 527)
*.Z* *.z* *.gz* Compressed files; recommended gzip (`util/pack/gzip124x.lha' on Aminet), note that this are Unix files in most cases
*.tar* Acrhive; recommended: tar (`util/arc/tar.lha' or `util/arc/gtar10.lha' on Aminet or Fish disk 445), note that tar is a Unix archiver and you often find soething like `.tar.Z'.
*.arj* Compressed archive; recommended unarj (`util/arc/unarj-0.5.lha' on Aminet)
*.zip* Compressed archive; recommended UnZip (`util/arc/unzip-5.1.lha' on Aminet), note that this are MS-Dos archives in most cases