MP3 - best compatibility, and your only choice
most of the time outside your computer, 'cept for WMA.
AAC - If your portable supports this, I see no need to stick with MP3, as AAC has been proven better. This'll be the next codec the industry will be pushing, as the new iPod already supports it.
MPC - Best lossy codec w/out a doubt to me and many others, but no hardware support. This is just for listening on your computer I guess.
Ogg Vorbis, I'm not sure of in comparison to AAC so I won't comment.