OggdropXPd is good software. Simple encoder for Ogg Vorbis, the audio format. Just set the encoding options, drop a .wav file on it, out comes a .ogg.
This is my first time fooling with Ogg Vorbis. I'm impressed, particularly it's handling of very low bitrates. I was able to make an Ogg half the size of the smallest listenable MP3. Useful for bandwidth-starved blogs.