The KGB Archiver is an archiving and compression program for MS Windows and Unix-like systems. The program supports the ZIP format, but also has its own native KGB format which is based on the algorithm of PAQ6. This format is designed for high compression rather than speed of compression or decompression.
It doesn't appear to spy on you like its namesake in the old Soviet Union.
There hasn't been any update to it in a number of years now, and its official website is no longer up.