I use oggs as the format of choice for my iRiver H140 and my girlfriend's PDA. Oggs are essentially an 'open-source' format (like FLAC is to SHN) that compresses files down to about the same size as an average mp3. Many people find they maintain a higher level of fidelity to the original music than an mp3 or a wma, and I have to say they sound pretty fab to me.
They are lossy, but they throw away different info to mp3s and don't have that hiss you sometimes get.
Not as well supported by as many programs as mp3s, but you'll find more and more doing so over the coming while, as hardware companies don't have to pay for a license to use the format in their equipment (as they do for mp3).
Trickier to find software that encodes them smoothly too, but with a bit of experimenting I found that Nero does it well (with the right codec) and Media Monkey is a good all-rounder library and encoder software. (EAC can do it too, but it's pretty fiddly).
As for bitrates, oggs encode better as VBRs - They have a sliding scale from 0-10. qO is about the same size as a 64kbps mp3, but sounds better (I use this for the PDA) and I think q10 is about 320kpbs, but I mostly use about q6 for the iRiver, which is about 192kbps and is pretty indistinguishable from the source cd.
They're gapless too, so none of those little skips between mp3s you annoyingly get for continuous music.
Check out Vorbis'
FAQ
Hope that helps.