You can download in any (or all) of the following formats on Bandcamp: MP3 V0, MP3 320, FLAC, AAC, Ogg Vorbis, ALAC, WAV, AIFF.
Just look for the format dropdown beside the download link here
The default download format is MP3, and this is probably what you want. These files play back beautifully in Apple Music, Windows Media Player, your iPhone/Android phone, etc. and include high quality cover art, accurate artist and track names, and lyrics when available. Our MP3s use variable bit-rate encoding (VBR) to shrink the size of the files while maintaining the highest quality, so you get fast downloads and can fit more on your iPhone.
You can also download in FLAC, ALAC (Apple Lossless), AAC, Ogg Vorbis, WAV and AIFF formats. These options are, as we say in the interface, for “audiophiles and nerds.” If you aspire to become either, this isn’t a bad place to start.
Burning a CD? Your best bet would be to download in WAV or AIFF for an audio CD (most common) or in MP3 for a data CD.