Use a loss-less compression format like png or save it directly in dds.
Texture format: JPG
Sound format: WMA
Zip is ok as data container, and deflate as compression for such files.
Geometry: .X (Its not the best chocie but I dont really need something special)
Lua scripts: .lua ( xD )
If someone want to get his hands on your asset, there will be really no way to stop him from doing it. So, just use some very basic encryption like xor to feel better. You can extract almost every asset from virtually every AAA game around, still you don't see a lot of abuse, because the best protection of your art is still your copyright.
I was going to use zip archives but I tough everyone can open and touch my game assets. Any suggestions?