Many people assume that just because an audio format like WAV is uncompressed it will always sound better than compressed audio but this isnt exactely true. Its all about the quality of the recording or production in the first place and the quality of the speakers its being played back through.
I worked in the music industry for many years, have produced music and worked for record labels and download stores (wont be name dropping here) I have even performed live compressed audio files for many years at events and have no personal issue with them. The louder the rigs played on the less it appeared to matter as human ears were doing natural compression on the music due to the massive decibel levels the speakers were belting out
Sure, if you have a fantastic high-end sound system with speakers that can output a very wide dynamic range, you will probably be able to tell a good compressed audio track from an uncompressed lossless one if you listen hard enough. In most cases if the compression and quality of the original recording or source material is good, its not the huge perceivable difference that some people would lead you to believe and MP3 is a respectable music format especially due to its size.
Another major con is companys like iTunes and other music download stores charging more for WAV, FLAC and even 24bit digital files where the original source material or recordings used to create the files was some crap quality 16bit compressed format from the digital distribution service and not an actual studio master file. You can take an MP3 and render it to a 24bit lossless format if you so choose, its not going to make it sound any better as it is what it originally was to begin with