pcx = smallest in size and acceptable for normal textures without alphachanel-transparency.
bmp = quite good in quality (better than pcx) but bigger in size than pcx, no alphachanel-transparency support.
dds = smallest in size when in need of alphachanel-transparency (plants...e.g) also better than pcx for skycubes and A6-sky textures.
tga = best in quality but biggest in size, supports alphachanel-transparency.

Try to get familiar with dds...it's the most advanced technique for 3D.

Edit: Using dds for skycubes requires the sylex3-plugin (make a search...) beacause (like DaBro0zar said) the textures must be square!