I am using SFML library in my 2D game.
The Texture Class has a method to load an image from file:
Which file extension should I use to achieve best performance?
There may be a small loading time difference, but that is likely dependent on what system you are running on.
Use what ever texture format you and your artists are comfortable with. I would personally use png because it is losslessly compressed.
Don't fret over a few milliseconds on texture loading, you are likely to save more time by using your own sprite sheets.
If you really want to figure it out, profile all the different image loading techniques.