Sound quality wise, they are identical. Most CD players won't play WMA lossless files though. If you use an audio CD burning program (such as windows media player or itunes), it will automatically convert the files to WAV when burning to avoid this. Both file types are lossless though, which means that both of them keep all sound information and therefore have no quality loss. WMA (non-lossless) and MP3 files, among others, are lossy, which means that they actually degrade the file quality. They do achieve much higher compression and smaller filesizes because of this fact though.