There are different kinds of audio files, depending on their compression: lossless compressed files and lossy compressed files. Some audio files can use both compressions.
The advantage of lossless compression audio files is the high audio quality. For example, audiophiles will prefer the audio quality of a FLAC file over any lossy audio file. Those files, however, are much smaller in size. Thus, lossy compressed files like MP3 are much wider spread and better supported.