Hi,
qcow2: http://en.wikipedia.org/wiki/Qcow2 use compression (+); one layer more between iron and VM (-)
raw: "no"-format - it's the same like on a harddisk. You can easy copy the content from a raw-file (partition) to a true harddisk (or vice versa).
vmdk: vmware-format - but there are differences (on type is like raw, another use only used space).
I prefer raw-format (or lvm-storage which is raw inside a logical volume).