Only series60 that supports WAV :(
I tried to find out which soundformats that the different Nokia -Series30, Series40 and Series60 supported by putting these two lines in a midlet:
for (int i=0;i<sounds.length;i++) System.out.println("Sound"+i+":"+sounds[i]);
The "Nokia_Series_40_MIDP_Concept_SDK_Beta_0_1"-emulator does say that it supports WAV-format, but that is a bug in the emulator, I think. If you try the "Nokia_7210_MIDP_SDK_Beta_0_1" - emulator it seems like it only supports the ringtone format.