Gamma-ray bursts (GRBs) and GeV-TeV-selected radio-loud active galactic nuclei (AGNs) are compared based on our systematic modeling of the observed spectral energy distributions of a sample of AGNs with a single-zone leptonic model. We show that the correlation between the jet power (P-jet) and the prompt gamma-ray luminosity (L-jet) of GRBs is consistent, within the uncertainties, with the correlation between jet power and the synchrotron peak luminosity (L-s,L-jet) of flat spectrum radio quasars (FSRQs). Their radiation efficiencies (epsilon) are also comparable (>10% for most sources), which increase with the bolometric jet luminosity (L-bol,L-jet) for FSRQs and with the L-jet for GRBs with similar power-law indices. BL Lac objects (BL Lacs) do not follow the P-jet-L-s,L-jet relation of FSRQs. They have lower epsilon and L-bol,L-jet values than FSRQs, and a tentative L-bol,L-jet-epsilon relation is also found, with a power-law index different from that of the FSRQs. The magnetization parameters (sigma) of FSRQs are on average larger than that of BL Lacs. They are anti-correlated with epsilon for the FSRQs, but positively correlated with epsilon for the BL Lacs. GeV narrow-line Seyfert 1 galaxies potentially share similar properties with FSRQs. Based on the analogy between GRBs and FSRQs, we suggest that the prompt gamma-ray emission of GRBs is likely produced by the synchrotron process in a magnetized jet with high radiation efficiency, similar to FSRQs. The jets of BL Lacs, on the other hand, are less efficient and are likely more matter-dominated.