I know there are embedded circuits that support decoding mp3 data, but for the purpose of games I know that wav and ogg are free. But lets just say I magically came up with some new compression that was equal to the file size mp3's are, am I still losing something within the hardware of a sound card since it is now in my format. Since there would be no hardware to support decoding my format, I would have to uncompress on the cpu and send to the sound card, my audio as wav/pcm. Is that a real downside? I'm just wondering with ogg or something, if its worse because of not being hardware supported, much like a gfx card supporting dxt textures.

The issue is simply is using mp3's actually worth 2,500 bucks (mp3 licensing fee).

Last I checked in a PC there is no hardware which deals natively with MP3 compressed data; hell most sound playing these days is done in software on the PC with a final PCM stream being sent to the sound chip.

So, no, you won't lose anything on the PC by using your own compression as you'll have to decode the others to PCM anyway to use them.