Windows Media Player will play as standard the following music formats
MP3
AAC
WAV
AIFF
WMA
iTunes for Windows will play as standard the following music formats
MP3
AAC
WAV
AIFF
Apple Lossless
iTunes for Windows can also import and convert WMA but cannot directly play WMA.
However while it might seem WAV and AIFF are options in reality they are not suitable, this is because while iTunes supports tags in AIFF even album artwork, WMP does not, and likewise while WMP does metatags for WAV iTunes does not.
In addition to the above formats, it is possible to get WMP to play and support other formats, for example FLAC, however iTunes for Windows does not support FLAC. What is possible is to get WMP to fully support Apple Losless - including metatags and even embedded album artwork.
Therefore if you want to keep your music in a lossless format the only option that fully works between iTunes and WMP is Apple Lossless. If your happy with using a lossey format then use AAC or MP3.
Note: iTunes can automatically convert Apple Lossless to AAC when syncing to an iPod/iPhone/iPad meaning you can keep the fully lossless format on your computer and still use a smaller format on your portable music device which has less capacity.
My article below will be of help if your interested in getting Apple Lossless working with WMP. (I devised the original solution to do this and was therefore the very first person in the world to play an Apple Lossless file in WMP.)
See http://jelockwood.blogspot.co.uk/2013/06/using-apple-lossless-aka-alac-in-window s.html