I think that OGG would be pretty good for most everyone (when made with a quality/compression level of about 7, ~250kbps) and would sound
very close to a lossless FLAC or WAV version. File size would be high, but I don't think it would be too bad (depends on the sound itself). I wouldn't use a quality level of less than 6 though. Anything more than 5 could be considered rather high for a game to use. But with a game like this one I think that going with a bit better quality while sacrificing some CPU time and disk space would be worth it, since unlike most games, there will be far more opportunities to actually sit there and listen to the music while you play. That's my opinion anyway.
For storage purposes I would say to leave it as WAV and/or convert to FLAC. You obviously want it lossless so that it could be easily edited or converted into a different lossy format without dealing with even more quality loss. I know that I would like one of these formats for myself (don't really care which), that could later be converted to OGG for use in the game as well.
FLAC is one of the better lossless compression styles, though some people claim that .ogg is lossless, but in my experience, that's not true.
OGG is most certainly lossy, it was designed that way. Those people who claim otherwise just don't know anything about the format.
Though, this entire thread has been done by people who don't know the format all that well either it would seem. OGG is a container, it has nothing to do with audio.
Vorbis is the audio format used in OGG files, hence why they call it "OGG Vorbis". I think that's being a bit nitpicky to really complain about though.