The actual files on the CD are waves. A regular CD, the music CD tracks, if you just copy them onto a PC, will be wave files.
From Wiki:
"though a WAV file can hold compressed audio, the most common WAV format contains uncompressed audio in the linear pulse code modulation (LPCM) format. The standard audio file format for CDs, for example, is LPCM-encoded, containing two channels of 44,100 samples per second, 16 bits per sample"