I was processing compressed .jsonl files recently (JSON lines format). I found that lzma gave a much better compression than gzip or bzip2, which helps for archival costs, but it's challenging to work with as software support is lacking. I do duckdb processing which supports gzip transparently. There's an extension for bzip2, but not for lzma or bzip3.

I ended up using gzip because it's best supported by the software I use and most likely to have support in software I adopt. But it gave the worst compression results of the options I tried. These bzip3 numbers certainly give me FOMO...