What is KML?
KML is Google Earth's format, and by extension the one most mapping tools will import without argument. It describes placemarks, paths and polygons, and it can carry styling - colours, icons, line widths - alongside the geometry.
What is GPX?
GPX is the XML that GPS devices and fitness apps speak. A file is usually one recorded track - a long list of points with latitude, longitude and often elevation and a timestamp - plus any waypoints you marked along the way.