Wav files have more full digital audio data on them. (the same number of minutes of music in a Wav. file will take up much more disc space than an Mp3. file.)
Mp3's are one of the most 'compressed' audio files out there. You are missing a tremendous amount of frequencies with the Mp3's. Converting Mp3 to Wav is not going to re-constitute the sound absent from the Mp3.
At the risk of hearing howls of protest, the lower audio quality does not make TOO much difference when you are listening to most amplified pop music, electric guitars, drums, multi-tracked Digitools edited vocals, etc.
It makes a very big difference when listening to acoustic music in any combination of instruments, including 'straight' singing not meant to be amplified to begin with....
If transferring your music from direct audio, or CD, go for the Wav. format.
Generally, the larger the file object (for the same running/play time) the more actual audio and the better / truer the audio quality.
p.b.