I almost always use PSD, and have had no issues. Some are Flattened (no individual Layers any more), but many are Layered, and often Imported as a Sequence, to animate the Layers individually. I also utilize the Transparency support in PSD's.
I also use PNG's, but not as often (supports Transparency, but I find PSD's do it more to my liking)
TIFF's also work well, but as I often need the Layer handling in the PSD (TIFF's can support Layers, but I find that support less than perfect for my Images)
JPEG's utilize compression, and as I will almost always Export w/ some form of compression, shun that format
Just my personal choices,
If I don't need access to the individual layers, my own preference is to work with PNG files. They're smaller than PSD, and unlike JPEG, PNG uses lossless compression, so no degradation occurs. They can also hold a transparency if needed.