Compatibility aside, I'd say that .tar.pxz aka .tpxz is probably my vote.
LZMA is probably what I'd want to use. xz and 7zip use that. It's a bit slow to compress, but it has good compression ratios, and it's faster to decompress than bzip2.
pixz permits for parallel LZMA compression/decompression. On present-day processors with a lot of cores, that's desirable.