*.wav supports tags if you have the file on your computer and only on your computer, but those tags do not transfer when you copy that file onto another device like a portable player. That's my experience, anyway. Using Foobar's file rename function, once you have your metadata exactly the way you want it would make those files still searchable without tags or retrieve tags from the filename, but it's not exactly ideal.
Both Apple and Microsoft have their own lossless codecs (ALAC & WMA Lossless), which support tags and which can be recognised by each company's standard media players. But for portables? Even in these modern days, it's very much worth checking if they will support those formats before you lay your money down.
FLAC is excellent and extensively taggable, but I think you still need to hack iTunes and WMP before they'll even detect the format, let alone play it.