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Those files are generated in ArcGIS. Are auxiliary files for georeferencing and visualization, aren't part of GTiff as .shx or .dbf are in a shapefile.

• .tfw is ESRI World file
• .ovr are piramid layers
• .xml is schema look and histogram
• .cpg is for TIFF interpretation.
• .dbf is for raster attribute table (thanks to @radouxju)

You can add .tfw using GDAL through raster package:

library(raster)

r <- raster()
values(r) <- sample(x = 1:10,size = ncell(r),replace = T)

writeRaster(r,'test.tif',options=c('TFW=YES'))

Check other options from GDAL GeoTIFF File Format to customize your export.