Technically speaking, OGG is superior at least to MP3, in terms of filesize and sound quality both. Technical merit doesn't matter at all to most people though, and even this comment is likely to be ignored. MP3 is good because it's a broad standard, but it's an old format, and almost everything will be technically superior nowadays. Presonally I'd avoid WMA just because it's MS-driven. I'd avoid AAC because it's Mac-driven. Proprietary formats are bad. You're relying upon a company to give you what you need to control your music. Open standards are good, because they'll be continuously improved, and because you know exactly what you're getting, and because you will have a wide variety of programs that work with your data.

So far as conversion, if you convert AAC to WMA or vice versa, you're going to be compressing your data twice, in a lossy way, and it's going to suck. CD -> WMA or CD -> AAC is the only way to go. You may already have known that though. If you've already ripped / downloaded all your songs, I'd keep them in the format they're in, or else re-rip them.

If you're comfortable using Mac stuff and you plan only to use Mac hardware, then use whatever Mac format recommends, would be my advice. No reason not to and it's most likely to work properly.