A "shapefile" consist of at least three actual files. This is a commonly used format that can be directly used in Arc-anything, DIVA-GIS, and many other programs. Unfortunately, non-latin characters are garbled.
An "ESRI geodatabase" is an MS Access fole that can be opened in ArcGIS (an expensive but powerful program). One of its advantages, compared to a shapefile, is that it can store non-latin characters (e.g. Cyrillic and Chinese characters).
A "Google Earth .kmz" file can be opened in Google Earth.
A "RData" file can be used in R (with the sp package loaded)