A friend of mine recorded my band a few times, the first time he used shn and the second time he used flac. I think that since they are both lossless algorithms, the sound quality is the same, and it's just a matter of what your tools are capable of converting to/from.
I saved the originals for CD's, but for regular listening I made some mp3's. One drawback to both shn and flac is that there doesn't seem to be any way to add metadata (like artist, album, title, etc.).