Occasionally, we run into trouble dealing with ZIP files that originate on Windows machines. You can find these in various places on the web, and given the prevalence of ESRI, it's not uncommon to run into them in the GIS world. Most of the time, for things like Shapefiles it doesn't really matter, since the only structural imperative for Shapefiles is that the pieces all have the same name. So, who cares if the name looks like "Shapes\MyLand.shp" instead of having the "MyLand.shp" file in the "Shapes" folder.
However, this becomes more of a problem with other data types. In particular, many image formats and File Geodatabase can be particularly strict about naming conventions.
If you run into a situation where you can't correctly open files in ZIP format (you'll notice error messages, missing data, bad georeferencing, or similar) then you may need to find another UNZIP program for your Mac instead of using the one built in to the finder.
Whereas the Finder Unzip works great most of the time, you can get these cross-platform issues because the file format doesn't explicitly tell you what's going on with directory separators. We have had good luck with StuffIt Expander, which is available on the App Store or via direct download.