Shapefile, DXF, GeoJSON or KMZ: which format keeps your coordinate system?
The format you export to decides whether your data stays in the publisher's coordinate system or is converted to latitude and longitude.
The short answer
Shapefile and DXF keep the layer's own coordinate system, usually the State Plane zone the county or city publishes in. GeoJSON and KMZ are always latitude and longitude on WGS 84; the formats require it.
Which to choose
For CAD drawings and GIS projects in the local State Plane zone, Shapefile or DXF, so the data drops straight in. For web maps, Google Earth, or tools that expect latitude and longitude, GeoJSON or KMZ.
Getting this wrong by hand is the most common reason downloaded data lands in the wrong place: a projection file that's missing, or an export that quietly converted to latitude and longitude.
In MapPull
MapPull names the coordinate system of the layers you've opened, with its EPSG code, above the layer list, and says what each format will do with it. If the layers use different systems, it flags the odd ones under each layer.