Lossless is very nice, but up to 10 times the file size and the difference in quality will only be noticable with good equipment and good ears.
I have quite a few files in lossless as well as all the other various sound file formats; aac, mp3, SDII, aiff, wav. depending on where they come from or how important they are.
I ripped my entire cd collection in apple lossless for archival purposes. I also run firefly on an old G4 cube that serves up these lossless files to Roku soundbridges I have connected to my audio equipment. This way I have instant access to cd quality audio. For my iPods and iPhone, I batch generated mp3s using dbpoweramp/LAME (mid quality VBR - equivalent file size to 160kbs). LAME is a better encoder than what's built into iTunes.