I'm pretty new to choosing compression libraries - I started with zlib and was delighted at how much faster and smaller zstd made things.
Since we kind of need a default "Need to compress something? Use this!" setting - would you prefer zlib over zstd, or something else for that role?
zstd or lz4
The only reason to pick anything but zstd is that platform support might be better.
If your platform/sdk/browser/standard-library comes with zlib/gzip/.. then it's often easier to just pick that.
No new dependencies is always a win. App size. Security, etc.
Otherwise, if zstd is easy to add, IMO I would always prefer, zstd, lz4 or brotli.