GameDev supports all of the image formats that VB6 supports by default, including BMP, GIF, and JPG.
WMA files, if compressed properly, can be much smaller than MP3 files and still sound better too, because it uses a smart compression algorithm to get rid of the stuff we don't hear, rather than getting rid of a little bit of data everywhere indiscrimately.
OGG Vorbis files are an alternative to MP3, except better. I don't really know what else to say about them... it's an entirely open-source, free audio codec that doesn't behave stupidly like MP3 does some times, and gets better compression too. It's much more ideal for video games, since they are quick to load and don't take up much memory to play. The only downside is that it's not a codec that's distributed with windows or with GameDev 1.x, so you'd have to distribute that along with your game. Many newer games use OGG files as audio, including Doom 3 (first on that came to mind), which comes with its own system for playing OGG files.
Here's a place to download the codec:
http://www.illiminable.com/ogg/oggcodecs_0.71.0946.exeHere's the official OGG Vorbis website:
http://www.xiph.org/vorbis/Xiph (makers of OGG Vorbis) also made an open-source video codec, Theora, which is freely distributed at
http://www.theora.org/. This is another good codec, similar in quality to Vorbis, but for video instead of audio.
I'd personally recommend using BIK files for video (
http://www.radgametools.com/bnkdown.htm) and Miles Audio for audio (
http://www.radgametools.com/mssdown.htm), but those aren't supported by GameDev1.x at all, or any other game development kits that I know of. These are tools, formats, and APIs designed specifically for gaming multimedia that are used on professional games for Windows, Linux, Mac, XBox, XBox 360, GameCube, Nintendo DS, PSP, PS2, and PS3.