In terms of compression hardness (smallness of resulting files):

• xz is better than zstd and bzip2
• zstd is better than bzip2, which is better than gzip (usually)

In terms of compression speed (but note that smaller files may transmit faster):

• zstd is much faster than xz at default settings
• xz is slower than bzip2 at default settings
• bzip2 is slower than gzip at default settings