Everybody's needs are different, but zstd is so fast the lack of multithreaded decompression doesn't matter very often. I've only ever found parallel decompression useful with bz2 files (which are insanely CPU-intensive to decompress), using lbzip2.

Zstd also has experimental code in the `contrib` dir for parallel (and, more importantly, seekable) decompression: https://github.com/facebook/zstd/issues/395