You want a lossless compressed format unless sound quality isn't a big deal then you go for lossy compressed formats. MP3 to my knowledge is not free to use, it has a license to use in your applications, so this might be why they don't support MP3 format.
Note that lossy formats will be lower in file size where as lossless formats will be larger. For example i have a 11 minute flac audio file which is pushing 80 meg in size. How ever in mp3 format its about 11meg. (Mp3 is a lossy compression format).
More reading material here:
http://en.wikipedia.org/wiki/Comparison_of_audio_formats
thefollower
Member Since 16 Feb 2008Offline Last Active Private

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