Edit: Check the replies to my post for corrections and clarifications.
I’ll answer your question and more.
Lossless quality: The highest quality you can practically get, where it’s as close to a 1:1 recreation from the studio as reasonably possible.
Lossy quality: The audio is compressed in a manner where you get the majority of the sound, but slight, fine details are lost to lighten up on file size. Heavy compression can greatly alter overall sound quality, but it’s not the early 2000s anymore, we don’t need to compress music that hard to get an album or two to fit on a 128 mb card.
.wav: Lossless, uncompressed file. Full quality, full file size.
.flac: Lossless quality, but with some compression, to minmax file size to audio quality.
.mp3: Lossy compressed. Small file size with reduced audio quality.
.ogg: Lossy compressed. Basically just an alternative to the .mp3 standard.