First of all, I had to move your post because, well, it just doesn't register to me as Tips and Tricks (I just think that the Tips and Tricks section is for tricks regarding the Gnutella net or some cool trick someone found regarding a specific app and that sort of stuff)
As for what file format to download, then it depends on what you want to download and your OS type (in some cases):
-if you want a program file then .exe is readable by Windoze only but (just like .zip) it is a format that can be dangerous because it can be easily altered to contain malware. So if you download .zip or .exe make sure you scan them with any kind of anti-malware application you can think of.
.dmg and .sit are more destined to Mac OS. I don't know how prone these are to malware 'infections' (if you're on a Mac you should care anyway
)but it is always safe to scan all files before opening.
Size is always important so don't download something that seems too small to be real, even if many people have it.
-for music .mp3 is of course the most popular choice although Windozers also use .wma but, like .wmv for video, it's a dangerous format (many people including me for no apparent reason, will suggest you don't use WMP or Real Player if you have Windows). Again size matters.
-video files have their own popular file format: .avi.
.mpeg is also very "good" (.mpeg 2 I think is the format on DVDs) but you can get a larger file sometimes.
.wmv files are so bad (both quality-wise and high-risk-wise) that people filter them out in searches.
.ogg are becoming more popular by the minute (ok so maybe a little slower), just like .mkv. Both file formats have decent quality and, depending on how the encoding was done, can give you options like language and subtitles options.
Again, file size is hugely important as a decent quality .avi should be in the 600MB to 700MB range.
There.
I hope I answered to some questions. (I'm starting to think I should have left this in Tips and Tricks :S)