They're just as hard to loop as uncompressed audio. The codec makes no difference.
Mmmm no. Things such as OpenAL have simple a parameter to loop audio. But if you're coding your own sound engine, looping is the least of your worries.
Usually the way that MP3s are encoded is by "blocks" with a set "width". If the end of the sound doesn't exactly match with the end of a block, then there will be a gap in the loop.
There are ways to get around this, but the normal ways do not work.
Take a gander at Part 2:
http://www.compuphase.com/mp3/mp3loops.htmPsst if you ever want stats of audio codec quality, go to Hydrogenaudio.
http://listening-test.coresv.net/results.htm
