When we want to send files over the internet, we typically want to compress these files so that they take up as little space as possible. We generally also need to bundle files together. Today, the default format for doing this on personal computers is the PKZIP format, while on Unix systems we use tar to group files together, and a separate program to compress them - these days that's generally gzip or bzip2, and in olden times it was the compress program. A lot of PC users are also using the rar archiver, because for a long time it has provided the best compression.
Today, that is no longer true; the crown is worn by 7-Zip. 7-Zip is a newer archive manager which, in addition to being able to handle older archive formats at various levels (for example, it can decompress but not create rar archives, but it can both make and break zip archives) it implements the new 7z compression algorithm. This is not actually the most efficient algorithm available today, but it is the best one that has a decent application wrapped around it.
7-Zip provides a dandy file manager for windows in addition to explorer context menu integration. You can make or unpack 7z, ZIP, GZIP, BZIP2 and TAR, and unpack RAR, CAB, ISO, ARJ, LZH, CHM, Z, CPIO, RPM, DEB and NSIS archives. 7-Zip has the best support for CAB files I've sen yet and is also quite handy (and speedy!) at getting files out of ISO archives. You also get a command-line program, which is the only portion of the program supported on non-Windows platforms.
Most of the archives I make for this site are done with 7-Zip to make the best possible use of disk space.
You can download 7-Zip for Windows, or the source code for other operating systems; the above page also provides links to packages for various linux distributions. Windows flash drive users may want 7-Zip Portable. Mac OS X users might want to grab 7zX, an OSX front-end to the POSIX commandline version.
In my experience, the best way to handle 7-Zip on Linux (aside from simple extraction) is to use the Windows GUI (7zFM.exe) under Wine! So far it has worked flawlessly, including creating (and extracting) self-extracting archives.