Is there any reason to not use the WMA lossless codec (instead of the other lossless codecs)? I am going to buy a portable cd player that plays mp3 and wma, will it be able to play my WMA lossless files? (That is the only reason i want to use WMA lossless).

On another forum i saw someone discussing the sound quality of the different lossless codecs (FLAC vs Monkey's Audio). Isn't that a very strange thing to do? Don't they sound excactly the same?

AFAIK there are no portable players which support WMA lossless. Be carefull of that!
Flac, monkey's audio and other lossless codecs sound exactly the same, because they are lossless. Don't take seriously opinions from users which claim that can listen differences between lossless codecs.