There's a speed/ratio trade-off:
ZLIB -- slower, higher compression ratio (uses zlib level 3 setting, you can see the zlib level difference between 1 and 6 in zlib sources).
LZO -- faster compression and decompression than zlib, worse compression ratio, designed to be fast
ZSTD -- (since v4.14) compression comparable to zlib with higher compression/decompression speeds and different ratio levels