.Jpg format does heavy pixel discoloration and distortion to the sprites to fit in with the limitations of that filetype. You will NEVER want to save any pixel work in this format ever. This is a common beginner's mistake.
There are only two acceptable file types for saving sprites in and that's Png and Gif. Png stands for portable net graphics and not only will not distort your pixels, but this file type can also support transparency. It is also a nice compact file type too, so it doesn't take up too much room. This is the number one format you will be using as about 90% of computers running Paint support this extension.
Gif can be good as well, but you need to be very careful with it. Like Png, it can support transparency and can even be used for making animations. It also has a nice compact filesize. However, the real dangers with this type come from working in Paint itself. If you finish up a sprite in Paint and save t as a Gif straight from there, you will get a warning pop up with a yes or cancel button. If you go ahead and click yes, you're screwed. Go and open back up your file and you'll see what I mean. Gif discoloration can be just as worse as jpg due to the explosion of pixels everywhere.
Only attempt to save images as gif in professional Software like Paint Shop Pro or Photoshop.
There's also the bmp file format, but this is in no way able to be used for uploading. Bitmaps are raw picture files and as a result, they are grossly large, easily extending into the 1+ megabyte range. Saving in bmp is perfectly fine for saving your progress so far and continuing another day, but never for a final result. In fact, most upload sites won't even take bitmaps. Photobucket, for example, will convert any bmp files to jpg upon uploading and we already know the downsides to that.
Here's some examples of what I mean:
Standard sprite saved as jpg in Paint:
Standard sprite saved as gif in Paint:
Standard sprite saved as png in Paint:
As you can see, the images speak for themselves.