The default download format is MP3. These files play back in iTunes, Windows Media Player, your iPhone/ Android phone, and so on. Bandcamp's MP3s use variable bit-rate encoding (VBR) to shrink the size of the files while maintaining the highest quality, so you get fast downloads and can fit more on your iPhone. AAC (iTunes) and Ogg Vorbis are similar in nature, and arguably better quality.
You can also download in FLAC, ALAC (Apple Lossless), WAV and AIFF formats. These files are larger but recommended for critical listening.