I know that PCX is a graphic format created by ZSoft. But many games developed in last 15 years support it. Could someone tell is't free to use? Thanks.

PCX is not a particularly useful image file format, but go ahead and support it if you want.

Use of file formats is generally not restricted, but the algorithms used to encode the data may be - e.g. compression algorithms are often subject to patents. PCX image data is compressed by a simple run-length encoding which isn't patent-encumbered.

If you're looking for a lossless file format like PCX that uses compression, I would look no
futher than PNG:
http://www.libpng.org/