From the XZ Utils README (included in the xz-utils package):

1.3. Documentation for liblzma

    The liblzma API headers include short docs about each function
    and data type as Doxygen tags. These docs should be quite OK as
    a quick reference.

    I have planned to write a bunch of very well documented example
    programs, which (due to comments) should work as a tutorial to
    various features of liblzma. No such example programs have been
    written yet.

    For now, if you have never used liblzma, libbzip2, or zlib, I
    recommend learning *basics* of zlib API. Once you know that, it
    should be easier to learn liblzma.

        http://zlib.net/manual.html
        http://zlib.net/zlib_how.html