Tags (i.e. metadata = embedded album, artist, title, album artwork, etc.) is not well-standardized or well-supported for WAV files so
I'd avoid WAV except as a temporary format if you are editing audio or digitizing vinyl, etc.
WMA seems to be a dying format that was never very popular.
MP3 is the most popular (and most widely supported) lossy format but AAC (AKA MP4 or M4A) is a close second and it's supposed to be better quality. A "high quality" MP3 or AAC file is about 1/5th the size of a CD quality WAV file.
If you are making MP3s or other lossy files
you may want to keep a FLAC archive. Then you'll always have the option of converting to a different lossy or lossless format any time in the future. (You should avoid lossy-to-lossy conversion because some "damage" accumulates.)
I have just been introduced to the world of Hi-Res and Lossless audio
The guys who do
blind ABX tests will tell you that (almost) nobody can hear the difference between a high-resolution original and a copy downsampled to CD quality (16-bit, 44.1kHz). And often, a good quality (high bitrate) MP3 can often sound identical to the uncompressed original or you may have to listen very carefully to hear the difference. Dolby Digital on DVDs is lossy compression and some of the best sounding music I own (IMO) is Dolby Digital surround on concert DVDs!
On the other hand, the ONLY downside to high resolution is bigger files.
Sometimes a high resolution release is a different mix or different master from the CD or MP3 and it might be less dynamically compressed so it might sound better (or at least "different".