All the 3rd party clients (tRio, RioPlay and RRR) play FLAC natively (via the libFLAC libaries). The same goes for Ogg/Vorbis.
None of them can handle WMA though. This is because there is no open-source, integer-based libary for this (when last I looked anyway). I think it can be done using JReceiver's transcoding features though.