WAV will sound the best, because it's a lossless format, which means all of the information from the music is retained. But it's also the largest file. One CD's worth of WAV files eats up 700 MB.
For casual listening, you're probably fine using MP3. Just make sure you use a fairly high bitrate. Most people say 256 is fine, but I use 320. The higher the bitrate, the better the music will sound. The smaller the bitrate, the more information that gets thrown out of the file to compress the size. An MP3 at a 320 bitrate would probably be about 60% of the size of a WAV file, and the files get smaller as you reduce the bitrate.
I'd avoid AAC, because it's proprietary. You can only play the files on Apple products. Same deal with WMA -- it's a Windows format, and you *can't* play it on Apple products. But you can play MP3s pretty much anywhere.
There is a lossless format out there called FLAC, which reduces the original file sizes by about half but doesn't throw out any data -- as I understand it, FLAC works something like a WinZip file. The problem is, most popular music players don't support FLAC files ... not yet, anyway.
Just keep in mind that no "lossy" file will ever sound as good as a lossless one. You can get close, but there will always be a difference.