Okay, I'm not a professional audiophile or anything, but I have played with virtually every form of music compression format out there, and in my opinion, here are the best for each type of useage...
1) For true lossless storage but without the size of a wav, use Monkey's Audio. It compresses on average about 50%-60% of the original wav, and encodes at a pretty decent speed as well. Yes, the files are still big (50mb wav is now about 25-30mb ape), but hey, you can now store more music on a cd than you could before and without sound quality loss.
2) For storing and listening on your computer, use mp4 aac format. Incredible sound and very, very small file size. Want to compare sound quality? Compare an mp4 aac with ogg, mp3, mp3pro, or wma. You will be amazed. And yes there are appropriate decoders for winamp, wmp9 or foobar2000 (which if you haven't used yet, you should.) Foobar2000 is a very small player (about 250kb zip file, 540kb on your computer, and uses less than 2mb ram while running), it's playback quality is quite incredible.
http://foobar2000.hydrogenaudio.org/
3) For compatibility with mp3 hardware players, I recommend mp3PRO. It is backwards compatible to work on mp3 players, yet it still keeps that small file size.
Honorable mentions to OGG Vorbis. It is open-source, which is always a good thing and it sounds great too. If you can't get your hands on an mp4 aac encoder, go with OGG for storing on your computer.
That's my 2 cents worth.