There seems to many opinions about image formats, parsing and compression algorithms. I’m designing a new file format (O NO! NOT ANOTHER ONE! 
), which tries to remedy alot of what has come up in this discussion. If you like to add your comments to it, go to the “Compressed Texture Format” thread under “Coding:Advanced”. Note that the first few posts refer to a texture compression format (CTX), while the rest of the disucssion deals with an extended MEDIA archive format (MAR).
About compression… JPEG is lossy - but does a good job. Sometimes lossless compression is required/desired. RLE basically sucks. GIF uses a simple LZ compression method, it’s better than RLE. PNG takes it a step further by doing some “data preparataion” (i.e. lazy-man high-pass filtering), which improves compression a bit. My proposed MAR file format does even better filtering, and uses the BZ2 compression library instead of PNG’s ZLIB, which results in excellent compresison ratios.