FYI, for the built in CD player in the Civs, MP3 and WMA are the supported formats.
P.S. WMA = Windows Media Audio. It's Microsoft's audio format.
MP3 is a common audio format used by MP3 players.
MP3 players do sometimes support WMA. Others support AAC instead which is Apple's format. iPods in particular of course.
WMA supports copy protection features. MP3 does not.
WMA and MP3 are "lossy" formats. That is when compressed they lose data to achieve such a high compression. In general the quality remains good, but depends on the bitrate. What rate you use to compress depends on how you're going to use it. In cars and on portable MP3 players with cheap headphones you can get away with lower bitrates.
And WAV, is a lossless format. If you rip a CD to WAV, it will be identical to the CD. There are compressed lossless formats too, like Flac, which is great for archiving CDs.
Anyway, difference between MP3 and WMA in terms of audio is not significant, other than I think you can achieve lower bitrates with WMA with the same quality results. MP3s however are more widely supported. MP3s have a downside of not inherently supporting gapless playback (i.e. when two tracks are played together, there should be no gap in for example a live music CD), though some encoders can get gapless playback support in, but the MP3 player needs to support it also. Sadly the Civic CD does not