Would recommend mp3 for compatability reasons. wma, though good, requires a windows platform to run, and that's not going to please everyone.
mp3 is across the board, and the most popular. Most people know what they are. Also you can tweak your bit rates to squeeze the file size. 128kbps will give you excellent reproduction right up to the high end of the spectrum.. if you can stand a little loss in quality toward the high end, then 96 will be adequate -
Incidentally, for personal mp3 players on headphones, you can usually get away with 64, allowing you to pack them in there!