I don't use still pictures very much, so have not looked... you might want to read in the User Guide to find out what kinds of pictures CS5 supports, and if there are any benefits to one kind over another
CS5 User Guides - online and PDF
All of these formats are supported for import.
For this sort of thing, I tend to work with PNG files. That's largely because they are the flattened still image file format that works best with several other Adobe programs. The compression used in PNG files is less damaging to sharp details (such as in text and graphics) than is the compression used in JPEG. JPEG is good for smooth gradations of color, like in photographs of the real world; it's bad for computer-generated imagery.
I haven't done any performance tests between these formats, so I don't have any comment on that aspect.