The default file format for loading and saving games is SGF FF, as specified here. glGo supports reading older SGF formats including the long format which is used in some old games available on the Internet. SGF files saved by glGo follow the SGF FF specification and should be valid SGF files. If you stumble over a file created by glGo which does not meet the specification, please notify me so I can fix the problem.
There are two SGF parsers available at the moment: A parser written in Python and a native parser. You can switch between both in the preferences dialog, where "old parser" means the slower but more stable and mature Python code. The new native parser is much faster (loads Kogos Joseki dictionary in ~2 seconds), but will need a bit more testing and finetuning.
This setting is temporary, the Python code will be removed once the new parser is solid.
glGo supports reading - but not writing - the UGF format which is commonly used in Japan and the default format of PandaEgg, the Jago XML format and the Ishi format. Writing UGF or Ishi files is not supported, writing XML might be implemented somewhen in the future.
The UGF parser works well with PandaNet mail magazine files.
The UGF and XML parsers are "real parsers", they read and load games directly from the UGF or XML files. Ishi files are first silently converted into SGF, and then glGo loads the SGF data. The Ishi format is very similar to SGF, so a lossless conversion is possible.