What are the most common 3D printing file formats?
3D-Model Exchange Files
The most common file formats to exchange models for 3D printing are STL, OBJ, FBX, COLLADA, 3DS, IGES, STEP, and VRML/X3D.
Of these, STL, OBJ, AMF, and 3MF are the most popular formats according to All3DP. Pointing out which is the best is a subjective interpretation and not fit for SE sites. However, for many of the model sharing sites, like e.g. Thingiverse.com, many people share the STL file format.

STL file format is short for “stereolithography” and is a 3D rendering that is containing a single color.
OBJ file format, this format stores information about your 3D model. It encodes surface geometry of your 3D model and is also able to store color and even texture information.
AMF file format stands for Additive Manufacturing File Format, this is a relative new format for 3D printing based on an XML open standard. Like OBJ it can store color information. When compressed, the size can be reduced significantly to about half the size of STL files.
3MF file format stands for 3D Manufacturing Format. It is also a relatively new file format that aims to be a new standard for additive manufacturing. According to the 3MF consortium, it allows higher inter-operability between 3D modeling software and other applications, services, platforms, and printers.

Actual Printing Files
In the end, all these formats store the models of your products which eventually need to be transformed into 3D printer understandable instructions. These instructions are called G-code commands.
Lately I also noted that Ultimaker Cura stores sliced models in GZ file format for my Ultimaker 3 Extended, which is a compressed archive from the GZIP compression utility containing the actual G-code file.