Personally, I use different compression levels and methods depending on the intended use.
I have a fairly large collection of digitized music on my computer (currently undergoing some reclassification) that is accessible to a program called "Media Manager" that routes it to my Verizon set-top box, and into my audio system. That is minimally compressed. I'm experimenting with mp3 and wma formats to see if there's an optimum point of size without noticable loss of fidelity.
Then I have my portable music player, which is mostly a 2GB thumb drive. I listen to it with tiny earphones in noisy environments (like riding on the DC Metro), so size is a factor, and fidelity is far less of one.
--I know what I like--