Try using FLAC with Total media player. Smaller in size and lossless, this format is great! You can always convert it to mp3 or wma later using software converters and use it with MP3 players. Another good format, without worrying of the file size is the WAV format.
Speakers do matter a lot! If you are restricted in space, go for Creative T40 or T20 series II. If you can afford, go for gigaworks T3. If you like to enjoy DVD audio convert the files to WAV - 5.1 channel (use Creative 7.1 or 5.1 speakers) and use Creative X-Fi series (and above) sound cards. You can also use external cards or laptop PCMCIA cards, if you need one.
If you don't care for the price and need the best, go for MK sound speakers. These are the best studio quality listening speakers and offer several ranges according to your pocket.
http
/www.mksoundsystem.com/
Hope that heps.