I think the WMA way of compressing flattens out the highs and lows more. Which doesn't matter if you are listening on a crappy system (most computers have crappy systems - they are "good enough" to still enjoy the music for most of us). Because of that, I think the WMA files can get a little smaller becasue they retain less data.
The MP3 does the same, but just not to that full extent, and they have a slightly better sound (more noticable at higher volumes).
Then there is OGG - that is a different compression method and at the same physical size on disk as an MP3, it has much better sound quality.