Each format has its pros and cons, but there are differences and specific times when a certain format should be used.
BMP - Bitmap. This was probably the first type of digital image format. It's most common in Windows environments. This is generally medium-high quality but produces larger file sizes. This format is ideal for icons and small images.
JPG, JPEG. Became popular with the invention of the digital camera. High quality images and huge compression allows for big resolutions but small file sizes. This is the most common image format, especially for photos.
GIF. This format was created mainly for Internet uses, mainly for its small file size. It's good for fast-loading web pages only.
PNG. Portable Networks Graphic. They best overall image format, especially for computer-generated graphics and files containing text and images having sharp transitions, but not as good as JPEGs for photos because of the larger file size. PNG is a better choice for storing photos that require a lot of editing, however, since JPEEG is "lossy" and PNG isn't.
Although not as compatible with the Windows operating systems (especially XP) as other formats, PNGs produce very high quality images with high resolution, but the biggest pro is that PNG's can handle transparency that JPEGs cannot. PNG is mainly used in MAC operating systems but can now be used in Windows Vista.