Ogg Vorbis is a free, open source, high quality audio compression technology that can create much smaller files than MP3. Ogg provides better compression without loss of quality due to the improved encoding process. Ogg files encoded at ~80kbps sound as good as or better than MP3s encoded at 128kbps. Players are available for all computer systems: go to Vorbis.com to get set up.
All the software listed on this page is freeware.
See the Ogg Portable Player Wiki for a list of players that support the format, and updates for those that don't natively. If you have an iPod or other player that doesn't play ogg files, you can install Rockbox: view Free your iPod to Play Ogg by AppleSource/CNET. There are also freeware programs that will convert ogg to MP3 in one step, although I only know ones for Windows: SUPER (Simplified Universal Player Encoder & Renderer) can convert between just about any audio AND video format; SWITCH Audio File Convertor comes in both free and pro version. There will always be a loss of audio quality when converting between compressed file formats such as ogg and MP3, and you should not convert to MP3 before burning to CD (decode to WAVE instead).
Ogg files must be decoded to WAVE format before burning to a standard audio CD. MP3 files must be de-encoded as well, but CD burning software does this invisibly for you. Burning Ogg files to a CD is the same process, it just requires the user to take one more step and de-encode the files to WAVE first before burning them. Many free programs can de-encode ogg files to WAVE: CDex and Quintessential Player are easy to use if you read the help files (both for Windows). I use CDex myself.
Windows users can use CDex and Quintessential Player and Mac users can use Ogg Drop to rip CDs. Windows Media Player cannot create oggs.