What is JPG?
JPEG is where photographs live. Its compression is lossy - it throws away detail the eye is bad at noticing, and throws away a bit more every time you re-save - which buys huge size savings on photos and makes a mess of screenshots and text. There's no transparency in it at all.
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.