One of the more common formats is Musepack's derivative of MP2, MPC. While there are player plug-ins for XMMS and WinAmp, my regular player iTunes doesn't support MPC. I recently needed to convert a selection of MPC files to MP3, and had some difficulty tracking down an appropriate tool. After a while I came across Foobar 2000, which supports many of the more obscure formats - and (with the addition of a copy of LAME) will quickly and cleanly converth them to MP3, automatically transferring tagging information. It may not have the best UI of any music tool, but it certainly does exactly what I wanted.
It's a tool that turns what was a pig of a task, involving crafting command lines for Musepack's tools and moving from MPC to WAV and then to MP3 into a single click of the mouse.
Highly recommended. A Ronseal tool if there ever was one!