Actually, onthefence928, of the formats jonc2006 suggested, .ccd/.img/.sub and .mdf/.mds are favourite because they include the subcode from the original CD, which pSX reads directly. This is essential for defeating copy protection, which pSX can defeat without your having to patch your game or record extra files from the CD if you use those formats - AFAIK it's the only Playstation emulator that can do this.
If a Playstation game isn't protected, then theoretically, since subcode isn't needed, .bin/.cue should work just as well. Oddly, though, when I used to use ePSXe, I found that .img images always worked better than .bin ones - go figure.
