They all have purposes, Wav is probably the most universal and best quality. All the other formats have various levels of compression, making the file size smaller to save space and aid in streaming the audio. You usually lose some sound quality (sometimes not really very noticeable) with compressed formats. So go with what works for the application you are going to listen to the music with. Even Soundcloud, if you upload a Wav file, they still convert it for streaming purposes and it sometimes loses the quality especially in the highs.