The traditional Director-specific swa format (basically mp3 with cuepoints) usually produces pretty good compression results and it allows the bitrate to be set.
To play 5.1 sound files, mp4 is the only real option (5.1 wma files don't play correctly and 6 channel pcm wav / aiff files are huge).
For sound effects that have to be looped (e.g. a helicopter rotor), I usually use wav files with ima compression. The compression is only 4:1, but the looping is perfect.