I would avoid wma because it is owned by Microsoft and they might find a way to make it so your sound clips won't play on Windows if Micosoft don't want them to.
Now that is a statement based on facts and knowledge, brrr,

. Why the heck should Microsoft turn off its own music format?
It`s all about what you want to do. Every format has its pros and cons.
For MP3 you have to pay $2700 when you reach 5000 copies of your game around. Which is quickly reached. More copies means of course more license fees. It is a Per Unit licensing. MP3 plays at nearly every Windows PC. MP3 comes with Media Player.
WMA Licensing is different from MP3. You pay the license with the software you own to create WMA. That's it. So own Wavelab or even just the Nero Wave recorder that can also save as WMA and you have paid your license. WMA plays at nearly every Windows PC. WMA comes with Media Player.
OGG has no licensing. It is free. Unfortunately the OGG codec doesn't come with Media Player. And so you have to provide the codec too when you use OGG for your music.
Honestly, WMA is my favourite format. No reason not to use it

But keep your hands away from MP3.