The file sizes will be smaller and support for loaders and exporters will be better. In general, the best-supported formats for three.js are Collada, OBJ, FBX and glTF.
However OBJ doesn’t support animations, and Collada file sizes will be bigger. The three.js JSON format was created at a time when there was no good web format for 3D assets, however, it’s slowly being replaced by glTF.
glTF is the recommended format going forward, but not all applications have good exporters yet - in particular, if you’re using Autodesk products then FBX will be easier.