That's precisely what I did. I transferred the same song in both a MP3 and a WAV version... there's a tremendous difference in how they sound. Once again, you need a pretty good headphone to expose the weakness of MP3. With the Shure E5c, it's like going from tape to CD's; testing with my Sony Streetstyle headphones, it makes no difference whatsoever.
Strangely enough, although I had the same concern about the battery life being shortened using WAV files, it doesn't seem to have impacted it all that much. I've spent two days using it on my regular commute to work, and listening to it at work when I've got a chance. It really doesn't seem to make much of a difference in battery life.
And.. to Andrew:
You are correct. A WAV file is basically a raw rip of whatever has been recorded on the CD. It's a 100% accurate transfer of exactly the same digital data that's been recorded on the CD. Hence if you're using a WAV file on the iPod, you're really just comparing the output of the iPod itself. Essentially the source is the same quality as a PCDP.
MP3 files, however, is a lossy compression format. MP3 encoders generally has 2 parts to them. One part encodes the data using standard MPEG algorithm and cuts down the size of the file... but most importantly, is all MP3 encoders has a "spectrum analyzer" that examines the original WAV file, and decides what data to omit.
The spectrum analyzer will dump whatever sound it deems not important. Such as low bass tones that it doesn't think most people will have equipment to reproduce. Any sound from left and right channel that might cancel each other out. High-end sound that, just like the bass, it deems that people won't be able to hear with their equipment.
However, these are exactly the sound that can be reproduced when you've got good audio equipments. Which is also why LAME is considered the best MP3 encoder, because the encoding to different bitrate part of the encoder isn't that different from any other MP3; but LAME has the best spectrum analyzer (and it's very, very slow compared to MP3 encoder that's built into many other softwares... but it's slow for a reason).
Even then, LAME still has to cut down a significant amount of data to get the file size down...
There are other "lossless" compression format for audio. Shorten (shn), FLAC, Monkey's Audio (ape) are some of them. My personal preference is Monkey's Audio for archiving my music. Shorten is a file format not really meant for encoding audio in the first place... rather adapted backward to be used with audio. FLAC is nice, but Monkey's Audio has more features (for example, lyrics can be a part of the Monkey's Audio "ID3 tag"...). Monkey's Audio also has the best compression ratio and the fastest encoding speed. BTW, the best "lossless" compression for audio is only around 60 to 50% of the original file size. Nothing like the 1 to 10 ratio that's usually achieved with MP3's... (at 128kbps or 160kbps).
Anyway, I hope I haven't said too much...