You can convert any audio format into .wav. After all, when you play an MP3 or any other format, your computer is "unpacking" it to a .wav before it comes out of your speakers.
The quality of an MP3 very much depends on its bitrate. In the early days of MP3 downloading, most of them were sold @ 128kbps which is a very low bitrate and sounds like crap (unless you're listening to it on some really crappy earbuds in which case you probably won't notice). Nowadays the general standard is 320kbps, so make sure the MP3's are at least that.
There are plenty of articles out there which talk about (and test) whether or not people can tell the difference between 256kbps and higher bitrates. Most of them conclude that the majority of people can't tell the difference. I don't really buy that though. I can definitely tell - to me, the bass sounds a little generic and undefined at 256kbps, but at 320kbps I can hear the instrument coming through.
Unless you're a pretty hardcore audiophile, you're not going to be disappointed with an MP3 @ 320kbps. Properly encoded, they sound very good indeed. Unless of course you have a particularly good set of ears and are listening on very high end equipment, in which case you'll probably notice the limitations of the format.
For me, nothing beats the sound of vinyl on a high end system. However, most people have been prepared to sacrifice a little of the quality for the convenience of compressed digital audio. At the end of the day I think we can become obsessed with audio quality, especially if we're musicians....but you have to question how much it really affects your enjoyment of the music. I can enjoy a song on AM radio. If it's good enough music, I don't really care.