Well for audio, lossless formats are the very best. Those such as AIFF & WAV. These take up about 10 MB/minute of music. Then you have the compressed lossless formats such as Monkey (APE), FLAC, Shorten, or Apple Lossless (m4a files that are larger than 320 kbps.) More mentioned HERE. These latter ones reduce the file size to about 55-60% of original WAV size. They are identical to the originals when uncompressed/burnt!

Then you have mp3 which has been around for a long time. Then you have mp3pro which is only good for smaller bit-rates as it increases higher frequencies for such files. But at larger bit rates is not as good as other formats. Then you have Ogg Vorbis. It's a reasonable format. I won't comment upon wma or realplayer formats. Then you have m4a/mp4 audio which is the newer format. It is supposed to be better than mp3. More about m4a HERE.

More about audio formats HERE

mp3's that are at the higher bit-rates & been encoded with a good quality encoder such as Lame, & Variable Bit Rate (VBR) are the ones to aim for. Those below 192 kbps are patchy. They may sound ok on the computer or portable player, but when played on a full stereo hifi system up loud, their lack of high & low frequency sometime shows. Even the heavy bass lines sometimes distorting. Any way this is IMHO. Everyone has their own opinion on this topic.

But then again, I've downlded mp3 files at 320 kbps & that someone had obviously reconverted a low bit-rate song to a higher bit-rate with the thought it would improve the quality. In fact it made it worse than the original 128 kbps they probably downlded.