1. The difference won't be larger than a few milliseconds so practically the speed would be the same. And ofcouse an 8bit TGA can't contain an alpha channel.
2. No. Actually jpeg should be slightly slower since they must be "uncompressed" (in a way) first. But by all means, in todays computers the speed is the same.
3. They both work but since sprites almost always need an alpha channel jpegs are out of the question. (And jpeg files are not smaller in a magican way, they are compressed with a lossy algorithm which reduces the quality intoducing various artifacts.)
4. Ogg Vorbis (Ogg is the format container and vorbis is the lossy codec in which the bitstream is compressed) files in wme aren't more flexible than wav (as far as I know). They are just (way) smaller which is a BIG advantage. Outside of wme they are more flexible in many ways, for example to have the music on your pc: you can tag them, replaygain them e.t.c.
Oh, and please, stop using only capital letters on your posts titles. It doesn't help in any way since we are already answering fast. On the other hand it's very annoying.