.ogg files is an alternative to .mp3 files. Although they offer better compression vs quality ratio, the main advantage is that it is free for programmers to use .ogg encoding/decoding (i.e playing) algorithms whereas .mp3 is patented. (That is, Warcraft III had to pay to use .mp3 while it could have used the superiour .ogg format for free)
You can not use .ogg in War3 because War3 only supports decoding .wav and .mp3
As for what programs use .ogg, that depends. Many new games use them for the patent reasons mentioned, and a broad range of audio-editing programs as well, but obviously the main use of .ogg, like .mp3, is to share music over the net. Some neat .mp3 players also play .ogg | 
