The data in an encrypted archive, like one you'd open with WinZip or WinRAR, is generally less safe than it would be on a fully-encrypted drive. That's because we are talking about dissimilar concepts.
Data compression involves wrapping a file or a set of files in a container and removing redundant data bits to conserve storage space. You can actually see the difference with a simple file comparison in a hex editor. Notice that there are fewer rows due to compression.
Of course, the concept of a file container is what also allows you to open up an encrypted WinZip file. The container is not encrypted; the contents are. This means you don't need a password to see the contents of an archive. File names are not protected.
WinRAR relies on the same concept. But now you have the option of encrypting file names. It's possible to do this by securing access to the entire container. This prevents you from even opening the file unless you have a password.
File names are part of what’s known as metadata. This is akin to data's data, and it's one characteristic that separates WinRAR and WinZip. The latter allows you to see the contents of an encrypted archive while former is able to encrypt metadata.
That, in and of itself, doesn't necessarily make WinRAR more secure. But persistent password hackers try to exploit metadata, as it’s usually unencrypted. By finding weaknesses, it's possible to engineer an exploit that takes advantage of flaws in the way encryption is used.
Now, you shouldn't be too concerned if have a strong password and you use a good encryption scheme (AES-128 or AES-256). At the same time, if you don't want people to know what you are encrypting in WinZip, it's better to use a nondescript file name instead of something like "2011 1040 Tax Form." Of course, strong security cuts both ways. If you obscure file names, you won't know what's in the encrypted file until it's full decrypted. Making access less convenient for prying eyes generally means it becomes less convenient for you, too.
So what happens when you heed our call, tighten the bolts on all of your digital locks, and then forget how to get them open again?