Wave is of course going to take up the most space, as it is uncompressed. The others are compressed somewhat in some way, but don't lose any actual song data in doing so. Flac seems pretty good for space vs speed at encoding.
Lossful:
AAC;
MP3;
Musepack;
Ogg Vorbis (Some still think its better than MP3);
Windows Media Audio (Don't personally like it)