I've seen some questions like this, so I'll make it simple.(with example files)

MIDI: Tells the computer what notes to play, and what instruments to play it with.
Pros:
-A very tiny file size
-Can be edited.

Cons:
-Instruments sound different on other computers. A song may sound great on your PC but terrible on another PC.
-The instruments are generally low quality on average computers

MP3,OGG, WAV: Is usually sampled.
Pros:
-Can sound very good as it is high quality
-Sounds the same on every machine

Cons:
-Larger file size
-Difficult to edit notes directly

Examples
In case you don't believe me, I composed a song(that is unfinished, but it still gets to the point).

There are 2 versions. Try the first one(MIDI):
Unfinishedtheme_MIDI
Sounds pretty bad, doesn't it?

Now try this one(MP3):
Unfinishedtheme_MP3
That sounds heaps better!

The first version is raw MIDI, which came directly from my electronic keyboard. The second version is the first MIDI, but rendered to an MP3 through an orchestral synthesizer.

Any more questions.. Ask here!

ok.. i can set a 5MB Mp3 to a 1,2MB OGG without Quality losing..

It´s all a thing of your transconverter.. Magix music maker converts everything. And compresses the filesize down to 60%.. Same Quality...

The only thing a Mp3 is better for me, is the 5.1 Dolby Sound...
And Midis.. Pfah... game boy dinglediding.. hate it..

True, OGG has better compression than mp3 most of the time.

What formats do other people use? I mostly use OGG(only reason i used mp3 here was because some people don't have OGG drivers).

I just use OGG.

for sounds I use wav. Then I can change the speed from the music with Audiorecorder. It's faster then with the MAGIX music-maker ^^