GZ stands for GZip archive (I'm sure you know it), mostly then contains SPR indeed but sometimes PKS / PKF file too. Look at the TEXTURES.PKS file in the MISC folder. It's a PAKS GZipped file.
AFS are usually containing ADX audio, that's right, but in this game it's not really only that:
For example the HUMANS.AFS file contains NPC PKS/PKF files, standing for NPC characters in the Free Quest mode. All AFS in the STREAM directory contains cutscenes data, in fact STR (or AHX for Shenmue II) and SRF file. STR are an audio format (for the voices) and .SRF is the subtitle file (can be opened with Cinematics Editor).
I'll try to use the tools to decode sound if you want, and post the commands to use there.
For STR files I can help you because I made the package.
1. Get
the tool and unzip it in a directory (in this example the output dir = "ADPCM_TOOL")
2. Extract an AFS from the STREAM folder, for example
\SCENE\01\STREAM\01BEDA.AFS (i'm working on the PAL release of Shenmue 1). Open it with an AFS extractor, like
AFS Utils or
AFS Explorer.
3. Get the .STR files from the extracted AFS and open a command prompt (Start menu > Run > "cmd" and OK).
4. Navigate in the "ADPCM_TOOL" directory created (using the cd command).
5. Type
str2wav myfile where
myfile is the input file,
myfile.str. An output
myfile.wav will be generated.