The Linux Sampler, something interesting (other formats also)
It seems that the determining factor in choosing a sample format is not the format itself, but the availability of samples in that format. SF2 seems to date back in the era of computers with 32MB RAM, thus being rather old, widely used and compatible to many DAWs. It is quite popular since there are a lot of free samples in this format (just look at hammer sound which dates back to 1997). I happened to learn about SFZ due to the Sonatina Symphonic Orchestra. Being more recent than SF2, it offers some advantages, such as sample round robin support and a more convenient way to build sample libraries (supposedly, I have not tried yet). Recently, I’ve been trying out the Kontakt Player as Kontakt (NKI) seems to be preferred by financially well-off musicians, and is therefore associated with good/professional quality (the free samples found on bedroom producers blog tend to have this format).
Another sample format that I recently wanted to try is the GIG (Gigasampler) format which is currently preferred by the Linux Sampler. Although I’ve been familiar with this before, the “Gig” made me think gigabytes, which scared me a bit. That is not necessarily true though. Furthermore, opensource/free software like the Linux Sampler have the mysterious power of motivating “prosumers” on sharing works they have done with it. In fact the reason I got interested in the Gigasampler format is the available samples in the Linux Sampler website which include a Yamaha Concert Grand and London Philharmonia Orchestra Instruments (licenses still pending though). Below is an impressive demo of the grand piano:
Update: This seems to be the same sampled piano on this site: http://sonimusicae.free.fr/matshelgesson-maestro-en.html
What is the best choice then?
I usually find this question irrelevant. Although there is certainly a best format in terms of programmability, flexibility, convenience when working with MIDI and other technical aspects, in the end it is your ear that decides which sample to choose. Being able to use any of the formats allows you to pick the best of all those worlds. My favorite beginner DAW, synthfont, supports SF2, SFZ and GIG (*most), though I’m still missing out in the NKI (Kontakt) world. This question will matter though if the same sound sample is offered in several formats. In which seldom case, I’ll personally go for SFZ being more advanced than SF2, more compatible to my DAW than GIG and not tied up to a proprietary sampler like Kontakt.
Other (free) software for creating instrument samples
There’s also the SWAMI Project although I’m reluctant to recommend it as I’m not totally into Linux when it comes to Audio (reliance of its available DAWs on Jack is to blame in my case…) and it still needs donations before Windows (or Mac) versions would be released.