Either you downloaded music and added to your ipod without converting it first through itunes or it was something created by the ipod itself. Some player have sound records that allow you to record things with the mic. If you have used this feature then this is likely where the file came from.
Most likely because you downloaded them. If you got your songs from a 3rd party music downloader other than iTunes such as Limewire, Bearshare, etc. some files come across as. wav files instead of mp3. You have to check before downloading.
The reason you have. wav files on your iPod is because when you downloaded the song, you didn't find one in the proper mp3 format, which is what works best for iPods. You should make sure that the song you are going to download is in. mp3 format, which will give you the best sound.