This topic is a tough one I'm struggling with it too - I'm looking for
a format that will retain all the object names in my Maya file - OBJ
seems to remove all the names I give my models.
Back to your question - Generally speaking, Collada (DAE) and OBJ
formats take up the largest file size, since they are plain text
formats.
MD2 will give you the smallest file size, since it's a binary format,
but it can be a pain to export to MD2 - You have to use intermediary
programs such as Milkshake.
Any other ideas out there?