There're no real advantages in using each, since whatever format the image's originally in, it's converted to the same internal format in an AGS game, so that doesn't matter.
BMPs are uncompressed format (except for some rare cases 16/256 colour ones can be RLE-compressed) and PCX utilises RLE compression, that makes PCX sometimes smaller, and there're no detail loss in both formats (unless you mean saving a Truecolour pic into a 256 coloured file say for example), so they're both perfect to use.
BMPs are uncompressed format (except for some rare cases 16/256 colour ones can be RLE-compressed) and PCX utilises RLE compression, that makes PCX sometimes smaller, and there're no detail loss in both formats (unless you mean saving a Truecolour pic into a 256 coloured file say for example), so they're both perfect to use.