The are a variety of different lossless audio formats, some supported by iTunes, some partially supported and some not at all.
The best lossless audio format to use from an iTunes point of view is Apple Lossless aka. ALAC. iTunes can import (rip) audio CDs using this format. Other lossless formats supported by iTunes include WAV (partially) and AIFF, however these formats use more disk space than Apple Lossless and do not sound any better, and further more do not support meta-tags as well as Apple Lossless.
Another lossless format you may hear of is FLAC, iTunes does not support this format but it can be otherwise considered equivalent to Apple Lossless in file size and capability. You can convert FLAC to Apple Lossless with of course no loss of quality but you will need to use another utility to do the conversion.
There is also WMA Lossless, this is not supported for playing by iTunes but I believe can be imported (only in iTunes for Windows, not Mac).
So, contrary to your message, yes iTunes does support lossless audio files.
For what its worth I have all mine in Apple Lossless and share it with Windows Media Player and Microsoft Media Center which can also play Apple Lossless (with an additional free directshow filter).
Note: Music purchased from the iTunes store will all be in AAC format which is a lossey format.
