I would like to know the range of icon sizes allowed in different OSes (such as Ubuntu, OSX) and the default format they use.
For example, windows allows icon sizes from 16×16 to 256×256 and uses a .ico file.
First of all, both Windows and Mac OS X encapsulates their icons in a container format, meaning that instead of multiple images with different sizes, the file carries images of different resolutions, and the operating system decides on when to use which.
Windows uses the .ico format. Pre-Vista, the icons should range from 16×16 to at most 48×48 big and are stored internally as bitmap files. With Vista, sizes up to 256×256 are allowed, and the underlying file format is changed to png.
Mac OS X uses .icns files, with sizes from 16×16 up to 512×512. It can also carry multiple states in the same file.
Linux is distro dependent, but generally supports a wide range of formats. For compatibility though, you would want to use multiple PNG files for the different resolutions, or a single vector SVG file. Resolutions also differs, but generally speaking 16×16 up to 512×512 should suffice.