The loss is there, yes. But audible to the human ear... not unless you're running a sound system that could buy a new car.
I posted this same question a few months ago, then I decided to run a test.
Mind you I was running this test in an amateur sound studio (but a sound studio with a actual amp/soundboard/professional grade sound card setup.
When using Adobe Audition, I ran 5 different tracks together in the same multi track session, and then played them all and switched from track to track to see if I could audibly tell where the sound difference was. I was using a pair of studio monitor headphones so that I could hear any slight differences. I did this with 3 different types of songs. Techno, Classical, and Rock. Here are my results:
WAV = This was the template
320k MP3 = Identical to WAV
192k WMA = Identical to 320k MP3
192k MP3 = above average bass response, mids were kinda cold, and highs were above average
128 MP3 = Most noticable drop in quality
Just for gits and shiggles, when I was finished, I threw in a 128k WMA... it sounded better than the 128k MP3, but only marginally.
Had it not been for the fact that I was clicking the button to change the active track, I would not have been able to tell when one switched to the other when comparing the WAV, 320k MP3, and 192k WMA.
My conclusion is this:
Unless you're a highly trained professional whose ears are his job, you're not going to notice the differences between 192k WMA, 320k MP3, and WAV.
I personally have encoded my entire collection into 192k WMA. It's sufficient. I was a diehard MP3 320k'er before I tried this little experiment. Then when I realized I was sacrificing 1/3 of my hard drive on something that is merely for leisure home stereo or portable use, and I couldn't even tell the difference, I quickly added about 20gb of freespace to my hard-drive. Sure, it meant re-ripping my entire collection, but that left me room for even more music.
Just my $.02, WMA 192k and no less than that. If you're an MP3'er then don't go less than 256k. If you're just a casual listener, then, who gives a pickle! You're probably more concerned with the melody and the words to care about the sound quality.
-edit-
About the DRM issue:
I never encode with DRM, and my Creative MuVo plays things fine. You don't have to use DRM.