Your title says "Ogg or mp3", yet here you ask "ogg or wma"
In any case, I know a little about all three formats; ogg, mp3, and wma. As far as which one takes up less space, its all up to you. Each format can be a different bit rate (the lower the smaller the resulting file). mp3 and wma can be constant bit rate (always 128kbps or 160kbps or 192kbps...you get the idea) or variable bit rate (where there is an average bit rate, the song running at a higher bit rate when it needs it, so it could average @ 191kbps or 153kbps)
Ogg is only VBR (variable bit rate), because VBR makes the most sense. Why encode a song of silence (no data required to reproduce it) @ 192kbps, or even 128kbps, when 0kbps is all you need? The same is true on the opposite end.
When I last did my digging into the subject, I'd read that ogg is supposed to be one of the best sounding formats in the 128-192kbps range (the most popular range on the net these days). You'd need a VBR mp3 with a higher bitrate average to sound as good and thus the mp3s would take more space. I'm not sure about wma these days, but I'm pretty sure it isn't that great. Maybe as good if not better than mp3 but I'd be pretty sure in saying ogg is the best of the 3, especially in the 128-192kbps range.
However the downside to ogg would be support. Mp3 being easily the most popular, is going to have support pretty much no matter what. Wma enjoys wide support becuse it's Microsoft's creation, and they tend to enjoy a lot of support. It also makes sense - everyone with a Windows PC (the majority of PC users) has free access to the wma format, meaning that there should be a lot of people who use it compared to ogg. Ogg is somewhat catching on, I've seen several players that support it, but not as much as wma, and certainly not mp3. Obviously Apple is a big player that opposes the spread of support for ogg, as they do not support it (at least last I checked), and seeing the popularity of the ipod...you might be best off sticking to a high quality VBR setting and mp3.
Ogg wins the listening tests @ 128kbps
Lame represents mp3
MPC (musepack) doesn't do well because it was designed to be the best codec at higher bit rates (well above 128kbps)
Lame doesn't do that well becaues mp3 is old and needs higher bit rates to sound good
"iTunes" or Apple's AAC format (m4a) is negligably better than Lame (mp3), however both seem to be better than wma, so I guess I'm wrong on that, at least @ 128kbps.
Atrac3 is sony's format I believe, used mostly with MiniDisc stuff, you most likely don't need to bother with it at all.