Guitar & Drum Trainer supports the most popular audio format, MP3, and also supports OGG, FLAC, WAV and non-DRM'd WMA. For CD playback, Guitar & Drum Trainer supports CDA files from regular audio CDs that you can purchase in music stores.
For those that only use specific audio formats, or have many but are only interested in some, GDT lets you select what kinds of files you'd like to be available by default when you go to open audio files:

When opening files off of CDs, CDA files need to be opened. i.e. Guitar & Drum Trainer does not yet support CD database connectivity from the Internet. Most often it is more convenient simply to rip CDs to disk. The following is a quick guide to the advantages and disadvantages of different GDT supported audio formats when ripping CDs to disk.
MP3 Files
While MP3 is supported in virtually every hardware and software MP3 player, it is an older audio codec and compared to what is currently available, it is showing its age. If you need compatibility, MP3 is fantastic. If you're looking for high-quality, look elsewhere as there are better formats available than MP3.
OGG Vorbis Files
OGG Vorbis is an open audio format without patent restrictions. If you commonly use Linux operating systems, you may need to have your music in OGG format for the audio player on your Linux system. OGG has decent performance, but isn't the highest quality codec available. However, for casual listening it is more than adequate. Audiophiles should look elsewhere for pristine quality. OGG files are similar in size to MP3 files. OGG is not as widely supported as MP3 files, particularly in portable media players.
FLAC Files
FLAC (Free Lossless Audio Codec) is a lossless audio codec, which translates into plain English as perfect quality, making it an excellent choice for audiophiles. Like OGG, FLAC is also an open audio format without patent restrictions, making it ideal for any environment, both hardware and software. The downside to FLAC files is that they are much larger than either MP3 or OGG files, making them less attractive for portable media players where storage is more of an important consideration. However, with increasingly larger and larger harddisks and storage in portable media players, this is becoming less and less important. For those concerned with quality, this is an excellent choice.
WMA Files
WMA (Windows Media Audio Format) files offer excellent compression ratios and very good playback quality. There are several different versions though, including a professional version and lossless version. WMA files support DRM (Digital Rights Management), but with Microsoft dropping its commercial sales of DRM protected WMA files, DRM'd WMA files will become less popular. The fact that Microsoft will also discontinue it's licensing servers will effectively kill all WMA music purchased from Microsoft as the computers they are on become old and break down. However, ignoring the DRM issues with WMA and Microsoft, WMA files are attractive except where compatibility is concerned. They cannot be played on some portable media players like Apple's line of iPods, and playback on Linux OSes is either extremely difficult or impossible. Never-the-less, WMA remains an attractive option for those interested in high-quality audio, particularly with the losslessly encoded WMA files.
WAV Files
WAV files are pure audio files with no compression (usually, but not always). They follow the RIFF format, which is also what AIF/AIFF files use. However, WAV files are extremely large. They are generally about 10x larger than MP3 files, and 2.5x larger than FLAC files. For professional audio engineers, uncompressed WAV files are the premiere choice when mixing audio tracks, but for regular listening, they offer no significant benefit over losslessly encoded WMA or FLAC files.
CDA Files
These aren't really audio files per se. They are indexers for the actual RIFF audio stored on a regular music CD. You can't "copy" or use these files in any significant way if they are not on a regular audio CD. You can open these in Guitar & Drum Trainer though to access the audio stored on music CDs.