Most digital cameras today have the option to select the file format and size. If you plan on doing any editing of your photo - either today or possibly someday in the future - shoot those photos in the RAW file format.
RAW is exactly that - the raw data of the photo file without any compression or changes made by the camera. These are the largest files with the best detail you can get out of your camera.
I also recommend shooting some form of JPG image. JPGS are lossy files, meaning they are compressed and data (or bytes) may be lost in the compression process by your camera. Your camera adjusts for these changes based on what it thinks is most logical.
Having a jpg file allows you to have a quick preview image to use once you download your photos. If just using the JPG file as a preview, a small file size (basic is the smallest, lowest quality; fine is the largest, highest quality) will work just fine.
NOTE: Since originally posting this tip I have stopped capturing JPG files. I have also gone back into my storage and started deleting the JPG files. Although they are handy to have to quickly look for a photo in a folder, many software applications, such as Adobe Lightroom, have file management tools within the program. Save the pixels on your hard drives for more great photos!