I don't think any of the clients support wav natively, so you'd have to transcode (using jrec) or re-encode to flac or mp3.
Transcoding isn't the ideal solution because of a delay introduced before the start of play of each track.
Re-encoding is a hassle, granted, but if you choose flac you don't lose anything and gain much: disk space and vorbis tagging. Flac is a lossless codec. See http://flac.sf.net