It depends on what you plan to do with them.
For ex., AIFF files are the standard for Apple computers. Broadcast Wave files are essentially RIFF Wave files, but with additional data encoded in them (originator, date of creation). MP3's and wma's are compressed formats - they result in lower quality, but also smaller file size, making them easier to distribute over the internet or for use in devices with "limited" storage capacity (e.g, portable MP3 players).
Generally, if you are working on a PC, the RIFF wave format is probably the best to use, since it is high quality and can typically be converted to other formats as needed.