PCX should actually be pretty small in file size, since it only has to keep track of 256 colors and not a huge palette. DDS have to be uncompressed for use on the interface (unless they are power-of-2), so that makes them pretty much the same size as TGAs. JPGs will typically be pretty small, but the user has to use the -jpgtga cmdline option in order to see them.
If you use uncompressed DDS (either 24 or 16-bit) then it's lossless. JPG is lossy, and PCX only has 256 colors to work with, so you can consider it pretty lossy as well. I've been recommending that everyone use DDS for interface graphics now, since you can easily move between graphics formats with the same file type. You can use compressed formats for power-of-2 art, and uncompressed 32-bit, 24-bit or 16-bit for non-power-of-2 art, or just when you need really good looking gradients. The main benefit of using DDS is that everyone will be able to use it without having to do anything special, and you the artist get to use any DDS format that you like in order to get the quality you want/need. And remember that interface graphics are only in memory so long as they are on screen, which means that you don't have to care about how much memory they use like you do with normal texture maps.
With post-3.6.9 builds you are going to start seeing to main things though: 1) the introduction of compressed VPs (CVPs), which will greatly reduce file size (even more so than simply putting the VP in a RAR or ZIP), and 2) the removal of the -jpgtga option (DDS will be default, followed by JPG, followed by TGA, followed by PCX). CVPs will easily take care of your filesize problems regardless of what format you use (all DDS formats compress in a CVP really well). And with -jpgtga being removed there will be less of an issue in mixing the various file types and having things missing when the user doesn't do something special.
