As far as I know, Big Fish Audio offers its content in rex format as well as wav. The free stuff we got from Cakewalk is only in wav format. Rex files are so much easier to drag into a project, I never have much luck getting things like hat loops to play in time with the project when they're in wav format. For instance, I just dragged a BFA hat loop into a project, and enabled "stretch to tempo" on it. Did it play in time with the project? Not even close! So I don't know where I'm going wrong, but at the end of the day, I never have this problem with rex loops!

If the wave files are not acidized, I always just convert to a groove clip and it works out fine. Sometimes you have to halve or double the beat count because the automatic detection gets it wrong. The only time I have problems with this approach is when there are rests at the beginning of the clip, which seems to confuse the conversion.

Maybe that's why I'm having trouble. A lot of those BFA percussion loops have rests at the start. 

REX files are best for some things, Acidized WAV for others. This is why many construction kits have fewer REX files than Acdizied WAV. For example, REX files are ill-suited to pads, or for slowing down if there's a sustaining sound (e.g., cymbal) over a percussive bed.
 
Also, REX files don't respond to pitch markers; Acidized WAV files do. Finally, SONAR allows editing and creating Acidized loops so if you are stretching more than the nominally acceptable amount, you can often tweak them to where they sound acceptable. The only way to edit REX Files is with ReCycle, which costs $200.

I think what I like REX files best for is percussion loops. It's such a no brainer to drag in a percussion based REX file and have it immediately fit the tempo. That's why companies like Loop Loft always have REX versions of their drum loops. 

Drum loops (preferably without crash cymbals) and percussion loops are where REX files excel. However properly acidized wav files fit the tempo immediately as well.