(Ops - I don't know where exactly to put this, and I swear there wasn't a discussion on this before, so move this accordingly. Since it's videogame/music related, I assume it goes in the media area. Close this if you may.)
Quite a while ago I came across a file-format called PSF. It's an emulated audio format that runs data from the Playstation. Originally, it was only limited to PSX games, but it expanded beyond into GameBoy Advance, Nintendo 64 and Playstation 2.
Emulated audio formats are better for storage than MP3's, since they only store a music player and data. This means that an MP3 audio set that's about 40 MB can be decreased to 800 kb-10 mb. However, it comes with a downside - one needs a pretty powerful computer to run the emulators. The requirements vary from set to set.
You can read more about the subject on Wikipedia.