TAR stands for "Tape ARchive". JAR stands for Jav ARchive.
Despite the similar names, a JAR file is actually a special form of ZIP file (it has a manifest in it). TAR files (known as "tarballs") serve Unix the way ZIP files serve Windows and JAR files serve Java apps. Aside from the totally different implementation of internal details, TAR files have no compression in them. Instead you compress the entire tarball, usually using the gzip or bzip2 utilities. So "foo.tar.gz" is what you get when you create tar.foo and gzip it. Sometimes the extension is shortened from "tar.gz" to "tgz"