What is BMP?
The Windows bitmap, which stores pixels raw with no compression worth mentioning. Files are enormous. It survives because it's trivial to read - if you're writing an image loader from scratch or feeding an embedded display, BMP is the format that needs no library.
What is ICNS?
Apple's icon container, the thing inside every .app bundle that makes it look like something. Like ICO it holds a set of sizes, but it goes considerably larger - Retina displays ask for 1024px icons, which Windows never did.