Any lossless format is bit identicle and impossible to tell apart. The only considerations are what support you find for them. For example if you are interested in using an iPod, ALAC is probably the way to go. For just PC playback, FLAC is a good choice.
Winamp will play FLAC just fine, just install the plugin, as will foobar.
If you want hardware to play FLAC files, have a look at flac.sourceforge.net, they list compatible players and there are quite a few.
If you've the space FLAC is a good choice since, being losless, there's no way to get an improvement in sound quality. If space is more a premium, OGG Vorbis is a good choice. At 256kbit you'd need an absolutly top shelf system to hear any difference, and it compresses 6:1, as opposed to FLAC's usual 2:1. Again Winamp and Foobar handle Ogg, and you can install DirectShow codecs that will allow Windows Media Player and any other DS aware app (Media Player Classic, Sony Vegas, etc) to use it.