Can't you figure out such thing on your own and rather tell the rest of the community?
For textures (in maps, skyboxes, cloudlayers, on models as skin, etc);
jpg, png, bmp, tga, dds.
It does support gif-format; but only the very first frame. The pcx-format seems also supported; although not the alpha-channel..
For sounds (in maps, next to the hudgun or playermodels, soundtracks, etc);
ogg, wav, midi, flac (mp3 wasn't supported for soundtracks at default due license issues with the format as I remember. It has quality loss anyway).
For models (in maps, playermodels, hudguns, vweps, etc);
md2, md3, md5, smd, iqm, obj.
For maps (as in reading);
ogz, wpt, cgz (with the "/importcube" command. You can't save as a cgz-file).
For the engine;
cfg, zip, bat, exe, dmo, h, cpp, ddl, pdb, mtl.
For writing (as read-me, etc);
txt (don't use doc-format or anything like that due compatibility reasons).
Correct me if I forgot any format.
I won't explain any further what format should be used and so for a specific thing. That's up to you to find out.
I'm not sure if any other packaged format like rar, pk3, pk4, etc are supported to read for the engine. Experiment on your own and return your results please.
According to the licenses within the bin46 directory, Cube Engine also uses the tiff-format (and some other which are generally unused). It's unknown to me if they are actually supported when calling up and executing a file in that format (once again, if you experiment with it; retrieve some information about your results please).
You can try to let the engine read the files within docs directory, but I doubt they actually will be executed (like rendered).
As Sauerbraten is just the game which uses Cube Engine 2, it's pretty weird the map-file mpz of Red Eclipse isn't supported as Assault Cube is supported (according to history.html).