This choice depends on what you exactly need:
what quality you want to achieve,
and how much memory you want to spend.

I mostly use Bmp's
they are converted to 16 bits textures in the engine,
thus saving a lot of video memory.
for high quality textures you could use tga.
if you want to save memory, even better would be dds,
although they offer some lower quality.

these are only some suggestions, I do not have much experience
with the other formats.

I hope this helps a little.

aargh Damocles and blink were faster!