mp3 and mp4 result in throwing away some audio data for the sake of saving space. Lossless gives you exactly what you got on the CD, or LP, or whatever. Whether it's discernible with a €30 set of earplugs probably depends on your hearing; with the Kensington speakers I have on my computer it's definitely discernible though.
Also, yes, I barely use iTunes anymore. Though it shouldn't be very hard to convert them to ALAC with something like dBPowerAmp. Then again, I don't bother with lossless on my iPod (not enough space for all the stuff I'd want to have), so I just make mp4s for my iPod and play all my lossless stuff with foobar.
Wolves in the Throne Room - Ahrimanic Trance