I generally find flac the best of the lossless compressions, but all are right, you will need to convert to uncompressed pcm files, (aiff/wav), then to apple lossless.
As a warning though, all lossless files are likely to drain your iPod's battery faster than you think it will. In theory, if your battery was 15 hours, because the file is 5 times the size, it could drain the battery in as little as 3 hours. More likely up to 5, but you get the picture.