Nope. Doesn't really matter. JPEGs are great for photos. So are PSDs.
If you plan to do a detailed work -- like applying chroma key or using non-square graphics, PSDs are probably a better choice. Because JPEGs are so highly compressed, you don't get as clean an edge.
Hmm. I use Lightroom for 99% of my photo work, rarely venturing over to Photoshop.
I'm not sure if LR will export a PSD - I'll have to check...
Yep, LR most certainly will export PSDs.
I'm assuming I'd want sRGB color space, no matter which option?
Also, for TIF and PSD, I can also select 8-bit or 16-bit depth... any preference?
Definitely 8-bit. 16-bit isn't compatible with Premiere Elements.