What is BMP?

The Windows bitmap, which stores pixels raw with no compression worth mentioning. Files are enormous. It survives because it's trivial to read - if you're writing an image loader from scratch or feeding an embedded display, BMP is the format that needs no library.

What is ICO?

Windows icons, and a container rather than an image - one file holds the same icon at several sizes, so Windows can pick the right one for a title bar or a desktop. It tops out at 256x256 and supports transparency, which is what stops an icon looking like a sticker.