The audio works fine in Godot, it should sound the same as any media player. For music, you want to use MP3 or OGG. MP3 is fine (I use this cause most of the originals are in MP3) but OGG has slightly better compression. Both should be high quality with a similar bitrate. WAV is only used for short sound effects like footsteps or gunshots.
However, you need to make sure that the sample rate in Godot matches what is set in your OS. If I'm not mistaken, 44.1 khz is the most common, so set Windows to 44.1 khz and make sure that is also selected in the Godot editor settings and the same for the audio file.