As XZ compression has gained more popularity for its high compression ratio without much sacrifice on decompression time, we have reached a concensus to switch future tarball releases from *.tar.gz to *.tar.xz
On GNU/Linux or Cygwin/MinGW, you can extract it with GNU tar like this:
$ tar xJf tarball.tar.xz
On Windows, the free/open source 7-zip utility can be used to extract it:
$ 7z e -so tarball.tar.xz | 7z x -si -ttar
Alternatively, with 7-zip GUI, you can first extract the tarball.tar from the archive, and then extract all the contents from the resulting tarball.tar.