Hello,
my mobile phone (a SonyEricsson P800) supports these audio formats:

• AMR

• AU

• iMelody

• MIDI

• RMF

• WAV

for ringtones, plus these:

• MP3

• G-MIDI level 1

in the audio player.

I need to set a sound for the alarm and it doesn't support MP3's, so I guess I have to choose a format from the first list.

Can you suggest the best format between those? And a free tool to convert from WAV to it? File size isn't a problem

My guess would be MIDI, too bad it sounds like shit...

Perhaps you can convert your MP3 to AMR online...

I tried AMR and it sounds really bad.

ATM I'm using .au, does MIDI sound better than them?

Use WAV. No conversion -> No quality loss.
And since you said that size isn't an issue, there's no reason not to use it.

You're right, in fact...

MIDI is control information for the onboard synthesizer chip of your phone (probably another Yamaha OPL chip), you can't store actual sound in it. RMF is a container format, you might want to look into what it can actually contain and of those, what can your phone play out of it.

Another vote for WAV

My vote is on getting a phone that can play mp3's as ringtones.

Of course

My vote is to turn your farking ringer off and just let it buzz in your pocket. Nobody wants to hear your rap music.

Actually I'm looking for alarm clock sounds
One of the latest I put on my mobile is this