BMP. is a format that makes sure to remember the exact colour and temperature of every pixel. PNG. is another great one but seems to add a black background around letting on icons when is used as a background on Windows.
As I mentioned before, I'm aware that you stuck about 10 files in the .RAR and because of that value of files, I find it ok to use JPG for it, as I doubt anyone would want to download a 45MB file just to get a wallpaper that is of slightly better quality.
It's mostly only recognizable on font and straight lines anyways, and not on these enigma splashes of colours. And I'm aware of that issue in Vista as well. It would be awesome if SWF.s were usable as wallpapers.