Sorry if this is the wrong board, but I couldn't really find a board that matches my question.
Basically, I just need to know what the difference is between these 3 video formats and also which one is the best.
No real answer for this since differenty devices support different containers and codecs. .mp4 could have several different stream types for video or audio that may or may not be supported by any particular device. .wmv will probably be the most consistent but if you run into a device that doesn't support .wmv the conversion could be a nightmare.
For best compatibility across mulitple platforms I use .mp4 with h264 codec and a 2-channel .aac stream and a 2nd 5.1 channel .aac stream. Won't work on everything but should be close. Although there are some settings in the h264 that could affect support further (ref frames, b-frames, Level, etc.)