We support the following decompression from both Connectors and Local Upload (not just SFTP):
- gz
- bzip2
- deflate
- z (generated by Unix compress command)
- snappy
- lz4
We currently don't support .zip because that compression format is actually an archive format which means a single zip file may contain one or more files or directories. At this time, there's no way for us to decipher what action to take with an archive (import all files, glob all files, how to handle directories, etc).