APE (Monkey's Audio lossless format) is my favourite. MP3 ,if done right, can sound very good too: Just try LAME's --alt-preset/--preset standard or extreme options. If you need to encode at really low bitrates, WMA and OGG do a much better job than MP3.
Personally, i quite like mp3. To be honest i don't have knowledge of comparing it to other things (maybe i'm scared to find out it really is rubbish) but i have a library of 8000 songs (32 Gig), the favorite tracks encoded at 160 or higher, and have a number of mp3 playing devices.
It meets my needs for the present.
By the way, used to use Xing's Audio Catalyst to encode when i was on Win98 (the variable rate was quite good), now use Musicmatch Jukebox to rip CDs at 160.