dds is a compressed format which is good for games, but some paint programs can't open or save them. GIMP (the program I use) has a plugin for dds files but it doesn't seem to like the ones in FPSC.
tga and dds files can have an alpha channel which is good when doing anything with transparency (like hud items, decals).
tga files are converted to dds by FPSC when a game is tested or compiled, so tga is a good format to start with. Pretty much any paint program can make them including GIMP which is free.
jpg is another general use compressed format that can look ugly if compressed too much, so be careful. Generally I don't think jpg is needed in FPSC as dds is better.
This is a pretty basic rundown. Someone else might have better explanations.
instinct is more valuable than intelligence.....