With both WAV, Apple Lossless (for that matter, FLAC & every other lossless format out there), the original analog audio signal is perfectly reproduced, via the Nyquiest-Shannon Sampling Theorem. Therefore there is completely no difference between WAV and lossless formats (and for that matter, CD). If you are hearing differences, it's probably due to the player settings, I assume your WAV files are being played by winamp / WMP and apple lossless by iTunes, please check your iTunes settings and make sure al the enhancements like Sound Enhancer are turned off.
At this juncture, I won't say that the differences you are hearing between apple lossless and WAV are in your mind, so you should weed out the problem that's causing you to hear differences.
As for MP3s, WAV and lossless formats are technically superior in terms of quality to this format, however the amount to which this quality improvement can be discerned is debatable. I for one find 320kbps indistinguishable from lossless, in fact, -v0 VBR encryption is also pretty much transparent for me. 192kbps and 128kbps is where quality starts to take a noticeable hit, although stuff really only becomes completely unlistenable at 96kbps.
Also, if you're gonna try out others' customs to audition the sound, make sure there's a proper seal, otherwise the sound you hear will be bass-shy, sibilant and thoroughly unsatisfying. The universals, while not 100% of the sound signature you get upon receiving your full custom, will be a much better demo unit than a badly fitting custom.