Look closely at how they approximate the amount of songs players can hold. They generally say (something like) 128kbps MP3 files, which are about 1/10th the size of a WAV file (direct rip from a CD). WAV's use (approximately) 10 megs of space per minute, while MP3's sit near 1 meg per minute (depending on what quality you convert them at).
MP3 is a... decent format. I really only like it at 192kbps or higher, but I just spent over $100 on my pair of headphones. Most people can't tell a difference from a CD at around 160kbps, some lower, some higher, and of course it depends a lot on your headphones.
WAV is a direct rip. This means that you're taking an EXACT copy of the information on your CD, and putting it on your ipod. CD's store about 700mb of data... my 4gb mini could only hold about 5 cds in this format, but around 50 in MP3.
AAC is probably the best for the iPod. It makes very small files, and generally better than MP3 sound-wise. The only difficulty here is that, at a later date and with a different media player, there's a small chance you may have to re-rip everything. MP3 is EVERYWHERE, AAC is marginally less (though still on basically everything).
AIFF I've had a lot of troubles with on the iTunes ripper. Such as a CDs taking 13 hours to rip (I actually let one finish, it did take this long), and then the files aren't correct. So I really can't say much on the format on an iPod.