generally i save my wallpaper creations as .jpg files, if i really want to retain the data embedded within the file for very lossless quality i go with .png, its a much larger file format sometimes 2 or 3 times the .jpg size, but if you want to maintain the quality i find it the best to go with.
i havent really used .bmp much or ever for that matter, so i cant speak directly to the quality it retains, i found a great article after a lil googling, it gives some great detail on file formats (JPG, GIF, TIFF, PNG, BMP) heck! even i learned a bit and is definately worth the read, with some really great examples as well..
http://www.wfu.edu/~matthews/misc/graphics/formats/formats.html
peas
cityboy