This is a subject well discussed and debated. I have been doing extensive swaps between LAME 3.97, NERO AAC, WMA, FLAC and WAV.
Without a doubt, properly encoded lossy formats as mentioned above will sound as good as the lossless image. But the similarities end when played through highly transparent rig (good amp + good headphone).
I stress that between superbly encoded lossy and lossless, quality wise they are practically on par with regard to sound quality.
The difference is in how the dynamics and transients are potrayed. I could always sense some glare and unescessary sparkle in lossy formats - much more apparent in LAME 3.97 and less with NERO AAC. In short they have that "edgy" feeling. WAV and FLAC on the other hand were almost free of the glaring body. Another thing is the sense of space at which lossy format somehow felt lacking. But seriously, with an excellent DAP like zune and Rio Karma through the headphone out, this will not be bothering the listener at all. But when you start to introduce amp and highly surgical headphone into the picture, the shortcomings will become apparent.