.mp3
MP3s are small in size, while retaining their original quality eliminating certain sound frequencies that can't be heard by the human ear. They are much quicker to download than WAVs, but require a special [but free] player, like WinAmp, RealPlayer, WindowsMedia, etc.

.wav
WAV was designed to play short snippets of sound on any audio-enabled computer. As a result, almost every browser has built-in WAV playback support. WAV files are large in file size. Unlike MP3s, WAVs are just digitized sound samples. They're bulky, but simple; any computer can play them, and they sound fine.