WAV stands for WaveForm audio format. This is usually an uncompressed audio format created by Microsoft and IBM to store uncompressed audio on a PC. While it can be other things, typically a wav file is an uncompressed PCM file. A wav file can contain compressed MP3 data, GSM data, or even sometimes non-audio data representing other types of waveforms. But for the purpose of this discussion and typical uses for wav files, they're audio data containing uncompressed audio.
WAV files are most often the result of anytime a compressed audio format is saved to disk on PC. The WAV file will be the largest representation of the audio data, but will be the one format always recognized by most software. Since the format is lossless, it is often used in audio editing as changes can be made to the file, the file saved without any loss in quality. While it is possible to tag WAV files with ID3 tags or such, sometimes this may corrupt the WAV file for an application that does not know what to do with the extra meta data. WAV files cannot be larger than 4GB due to the fact that some header data is stored in a 32bit number. CD-Quality uncompressed WAV files are large - typically about 10mb per 1 minute of music.