I've done a fair amount of research into this topic since I learned the hard way that not all mp3 players can play lossless formats and some can only play certain kinds of lossless formats. Besides wav as mentioned above, there is wma lossless, flac, monkey's audio, and for mac users: apple lossless (alac) and aiff. wma lossless, flac, monkey's audio (APE) and alac do compress the files somewhat (helpful in saving space) which in my understanding is ok because the files are still lossless. Wav and aiff are uncompressed which means even larger file sizes. So the first step is to check if your mp3 player supports lossless formats and which kind.
It is possible to convert one lossless format to another but you can't convert mp3 to lossless (since the info is already lost)- you have to rerip the cds.
The other thing to note is that current bluetooth stereo headphones do not support lossless audio streaming, but there is a lossless bluetooth codec (SoundAboutLossless) in the works.
Windows media player supports ripping to wma lossless and wav and works as described above. However it does like to "convert" lossless files when syncing - so I prefer transferring lossless files directly to avoid the possibility that windows media player is converting them to a lossy format.
I use foobar2000 to create flac files for my sansa clip (which doesn't support lossless wma or wav). I did need to download a flac encoder as well to get it to do this. It can both rip to flac and convert wav and wma lossless to flac. (It does a lot of other formats too - which I have not yet explored.)
Itunes can rip to alac and aiff - but not all ipods support those formats.
I just wanted to share what I've learned - since I was disappointed to find that the mp3 player I bought primarily to listen to my binaural beat CDs (which require a lossless format) didn't support lossless.
