Uncompressed audio is audio without any compression applied to it.  This includes audio recorded in PCM or WAV form.

Lossless audio compression is where audio is compressed without losing any information or degrading the quality at all.  Examples of lossless formats includes WMA Lossless or FLAC in Matroska.

Lossy audio compression attempts to apply to discard as much 'irrelevant' data as possible from the original audio, thereby producing a file much smaller than the original that sounds almost identical. This results in a much smaller filesize then lossless or uncompressed audio.  Lossy audio formats include AC3, DTS, AAC, MPEG-1/2/3, Vorbis, and Real Audio.