If you have a good sound system, go for lossless formats. FLAC will give you a reasonable compression rate/decoding speed ratio and also it's highly compatible with a lot of devices... including some portable MP3 players (tho I dunno why you'd put lossless files on a device with limited space, but if you want, you _can_). APE has better compression at the cost of decoding/encoding speed, and it's not that compatible... some players don't even play it (get foobar btw). TAK has all the advantages of FLAC and APE, except I don't even know of a player that supports it besides foobar and winamp, and even those, with 3rd party plug-ins only.
As for lossy formats, and MP3 vs. WMA, I remember a blind test (or was it double blind?) made by an independent research company, and WMA _kinda_ beat MP3 at (subjective) sound quality, at both 64kbps and at 128kbps. Which is expected since the actual base of the MP3 format is almost 20 years old. WMA is only about 10-12 or so, and WMA Pro is kinda recent (few years old). AAC beat them all btw. At all tested bitrates. So, go with that if you can.