The most popular lossless format, FLAC files themselves are compressed (like a .zip file) to save space but maintain the full, original audio quality.
Player Support (only free options listed):
Windows: Foobar2000, SongBird, Clementine, MediaMonkey, VLC
Mac: SongBird, Clementine
Android: 3.1+ (any music app)
Total Download Size: 214MB