Ogg, AAC, and WMA 9 (not the older varieties) are more sophisticated than MP3, especially at low bit rates, but none of them are CD quality, even at the highest bit rates. A decent CD payer with a CD in relatively good condition is still noticeably better sounding to many people if played back through decent kit.
The lossless formats like FLAC, Monkey's Audio, Apple lossless, Wave, and WMA lossless are all CD quality (or indeed better than CD quality if they were originally recorded with higher sampling rates and bit depths), the problem is they take up a lot of memory, although less than CD and Wave.
The lossy formats such as MP3, Ogg, AAC, WMA MPC etc all use slightly different techniques to achieve the same thing, they try to work out which bits of sound you won't notice much, and they throw that information away (hence lossy). The higher the bit rate, the less information is thrown away, the more true it will be to the original, and the larger the file size, its all about compromise you see. Some simple lossy formats throw away all audio above and below certain frequencies, or only keep the stereo information where there is a significant difference between the 2 channels (MP3 is traditionally especially poor at keeping the high frequency information, even at the highest bit rates, so if you tend to notice a lack of very high frequencies in your music, that could be a problem) The more advanced formats like ogg, aac, and wma 9, all have mathematical models of how an average brain interprets sound based on many experiments, and try to work out what you won't notice missing. Lame encoder for MP3 has also improved the situation for MP3 a lot too.
The lossy formats all have errors (or discrepencies), known as artifacts compared to the original recording. Some artifacts are common to all the formats in differing degrees, some only to certain formats, and not everyone notices the same (if any) artifacts. The important thing however is that you select a format, which produces files that sound "CD quality", and use this format at the minimum bitrate at which the sound becomes acceptable to you. This may in fact mean more than 1 format, as some formats are better at high bit rate, and others the best at low bit rates. The level at which you percieve the sound as identical to the original is known as the transpanrency level.
Where you will listen to the music will also make a difference, what player you have/want, or what media program you use on your computer will also affect the decission depending on what they support, and how good quality they are at playing back your chosen format.
Unfortunately there is no shortcut, we can't tell you what is best, you should listen to the different formats your self, experiment with them, eventually you will settle on 1 (or 2).
Quick word of caution though, don't go deliberately listening for the artifacts and errors i mentioned earlier, don't even look up on the net what they sound like, because if you do start to notice them, they will annoy you forever.
Trust your ears