It sounds far better than mp3 or OGG, IMO. SHN is also a good format. Is supposed to be smaller than WAV but exactly in quality because it´s not a lossless scheme.
.ape files are as good as the .wav files they came from, just half the size. The first thing I do when I get a new CD is rip it with EAC then compress with Monkey's Audio. I can listen to it on my computer with lossless quality and I know I have a perfect backup in case something happens to the original.
.ape also has one more benefit if you tend to move your music collections around - it has built in error code checking so to make sure your files transferred perfectly just check them for errors afterwards...makes sure your library always stays perfect!