You are asking about a few things here
1 - 2 archives - a .gz (or .bz2) file, that contains a .tar file.
This is done because
bzip2 only work on a single file. Once a file is compressed, the uncompressed version is removed. Uncompress it, and when done the compressed version is removed.
tar command, (historically) didn't do compression on its own. But thanks to the open source goodness that they all 3 are, the shared libraries and some code let
tar work with compression on the fly.
Perhaps the old Slackware/DOS 8.3 convention filename extension would help you think of it better -