Yes, I get a small amount of distortion in my playback using the monitor speakers with my computer. I don't get these distortion if I playback the same files in iTunes or Windows Media and when I burn the file to a CD the distortion is not there???

I can't explain that... Usually, it will sound the same the with the same soundcard, driver, and monitors...Usually the application doesn't matter... (Soundcard & drivers rarely make any difference with playback either, unless you have a noisy soundcard... Recording is a different story and a good interface usually makes a big difference.)
The distortion in Audacity might be annoying, but it isn't terrible since I assume you're
not using Audacity for your live performance.
I would like to have the best quality I can for play back on a job so could you suggest another way of saving these files.
Well... I guess whatever you are using is OK, since it sounds good with iTunes or Windows Media Player.
First, you need to make sure the file is not clipping* (
View -> Show Clipping). If you are clipping after boosting the bass, etc., Use
Amplify and set the new target-peak level at something like -0.1dB. (It's important to do this
before you save, because Audacity can go over 0dB with it's floating-point processing, but many file-formats cannot, and the peaks can be clipped when you save.) If it doesn't
sound loud enough after that, the trick is to use some dynamic compression.** (And you might need to re-normalize the peaks to -0.1dB again after compression.)
WAV is uncompressed, so there is no quality loss (assuming the same sample rate & bit-depth as the original). And, just about anything will play WAV. The downside to WAV (besides file size) is that tagging (title, artist, etc) is not standardized. FLAC and ALAC are lossless compression, so they
sound identical to the original WAV. iTunes supports ALAC, and with an add-on CODEC, Media Player supports FLAC (i think).
MP3 and AAC will play on almost anything too. And at high bitrates, they will sound identical to the original with most music. The highest quality settings for MP3 are 320kbps CBR (constant bitrate) or LAME 'V0' VBR (variable bitrate). (I'm ot completely up to speed on AAC settings.)
Plus where or how do I set these up with Audacity?
File -> Export. Then you can select the file type, and set the bitrate or other details under
Options. (If you want to save-as MP3, you need to install the optional LAME encoder.)
If I change format, what program can I play these back with?
Since you can create almost any format you want, I'd start with the application you want to use, and then choose a format that works.
How can I tell if my Lexicon interface is not set correctly?
i can't help; you with that... I don't have one. What are you using it for? As a playback "soundcard"? I
thought most of the Lexicon devices are used for recording, but you didn't say anything about recording....
I am a professional singer and I use these for shows and nightclubs.
[/quote]Since computers are unreliable, I get nervous when people use them for live performance.

Microphones & guitar amps can last a lifetime with no major problems, but computers????? I'd feel better if you have a back-up (maybe an iPod or something). And, I'd feel a little better if your computer is dedicated for performance use, so the settings (or anything esle) don't get messed-up during the day...
* The original file might show some clipping, and there's not much you can do about the flat-topped waves (except maybe with the
Clip Fix effect). The important thing is that you don't add any more clipping.
** Dynamic compression is a non-linear process and you can boost the quiet & moderate parts without boosting/clipping the peaks. This has no relationship to
file compression like MP3. i.e. You can boost the overall/average volume without clipping. Most modern CDs are
highly dynamically-compressed. Most older recordings have more "dynamics", but are not as "constantly loud".