Windows CLI one liner:

FOR /R "c:\path\to\directory" %I IN (*.gz) DO del "%I"

Just iterates recursively over the given directory, and in this case just the .gz files, and deletes them.

Another one liner, but for Windows CLI:

FOR /R "C:\path\to\directory" %I IN (*.gz) DO "c:\Program Files\7-Zip\7z.exe" x "%I" -aou -o"%~dpI"

This requires z-Zip to be installed.  The gz could be altered to another compressed file extension.