I was just mislead by the title of this thread. I assumed that the OP wanted to make an audio CD, while in reality, he seems to want to make a (data) CD containing mp3's or another audio format for playback on a player that supports that. In that case, most likely indeed that if the the player supports something, it will be mp3.

To answer the last question of the OP explicitly: commercial CD's are typically audio CDs. These store uncompressed 16 bit PCM audio, that is mostly comparable to regular 16 bit PCM Audio WAV files.