Strictly speaking, comparing .ogg Vorbis to .wav is kinda comparing apples to oranges as they really aren't similar formats. .Wav is a high-definition lossless format, giving you the full range of audio sound - that's why it's used for commercial CDs. The non-proprietary equivalent is .flac (Free Lossless Audio Codec), which isn't well supported yet, only a few proprietary players recognise it, but is gaining in popularity for its high-quality sound.
.Ogg Vorbis is a compressed, lossy format, which means it sacrifices several channels of audio for the sake of squashing the file size down. This loss isn't too noticeable on a portable player and without anything to compare it to, but when played on good speakers and compared to an original lossless version of the same music, the difference is quite noticeable. .Ogg Vorbis is the equivalent of .mp3 and .wma and quite frankly whips both their butts. Rip a song off an original CD in .wav format, then convert the .wav into .ogg, .mp3 and .wma respectively (and .m4a if you want to be really complete) then listen to them on good speakers -- the differences are impressive and very noticeable. .Ogg Vorbis delivers a much
better quality of sound than .mp3, for the same quality of compression (.ogg Vorbis files are about the same size as .mp3 files) The .wma sounds very muddy, definitely the worst of the lot, so if your friends can't play .ogg Vorbis files, give them .mp3s instead - it's the compromise. However, the only software player that I've found that doesn't play .oggs is *drumroll* iTunes! (I really do not know why that program is so popular.) Although some hardware players don't play .oggs (most notably the iPod, no surprise there), most do - I was pleasantly surprised to pop a CD full of .oggs into my car's CD player and it played quite happily. .Ogg Vorbis definitely pwns .mp3 and .m4a, and blows .wma right off the map.
Converting an .ogg to a .wav doesn't uncompress the sound, it just beefs up the file size because it gives you a high-definition version of a low-definition audio. Whenever I can, I prefer to buy my online music in .wav or .flac format, then convert them myself into .oggs or whatever format I require. (Not all online stores offer that option; Magnatunes does but CDBaby only offers music in .mp3 format
) Same if I'm ripping a CD, I'll rip it to .wav or .flac, then convert. That way I get the pure high-definition music for listening on the massive heterodyne-factory that my Best Beloved calls a media center, and a quality compression format for my car and player.