There are pro's and con's to both file types. MP3 are much smaller and ubiquitous, plays on just about everything including potatoes.
MP3's are also compressed, this is what makes them so small. Compressing them loses some of the quality of the sound, loss of quality is a bad thing, but using high bit rates can reduce the loss but take up more space.
WAV files can be huge (70+ megabytes per song), but they are uncompressed, as long as you don't mind how much space they take up, then choose WAV every time.
Don't take my word for it.
