The problem with WAV files, Mr. Red, is that they are too damn big. You have to remember that not all your visitors are on a fast connection. They won't want to wait 15 minutes for the WAV file to download before they can hear it. The nice thing about the MP3 format is it is compressed without losing much sound quality (in higher bitrates >190 kbps, it is pretty much indistiguishable from the original uncompressed sound file). RealAudio loses quite a bit of quality, even in higher bitrates. Windows media fares better but is MicroSoft-based (a good enough reason to avoid it in some people's view).

Most people interested in music on the Web (that is your audience, y'know) will have software on their computers to listen to MP3s. Winamp is a free download anyway and you can provide a link to that on your website too.