ProRes and DNxHD both have both 10- and 8-bit variants. If you have 8-bit video, dumping it into a 10-bit DPX won't do anything other than add ~20% to your file size.
Also, Fusion will assume that a DPX file is logarithmic color. If you have Rec.709 DPXs, you'll have to remember to enable the "Bypass Conversion" switch in the Loader's Format tab.
Here's a brief run-down on your most likely filetype candidates. Unless otherwise stated, the gamut for most files is assumed to be sRGB.
Targa (tga): 8-bits integer, uncompressed, alpha. Supported almost universally.
PNG: 8- or 16-bits integer, lossless compression, alpha. Compresses graphics fairly well but doesn't do much for photographic imagery. 16-bit format is not widely supported by software.
DPX: 10-bits integer, uncompressed, alpha. Supported by most post-production software, but some prosumer-level programs might not recognize it. Assumed to be log color.
OpenEXR (exr): 16- or 32-bit floating point, can be compressed or uncompressed, carries an arbitrary number of channels. Usually assumed to be linear. Widely supported in visual effects software, but some other post-production software may not recognize it.
TIFF: Any common bit-depth, can be compressed or uncompressed, carries an arbitrary number of channels. The most common variants of TIFF can be opened by almost anything, but some software has trouble with some options.
Don't even bother with jpeg, bmp, or gif. None of them is suitable for post-production work.
Generally, DPX is the best balance between bit depth, file size, and support. You just have to watch out for the color handling issues. If you're sure it can be supported throughout your pipeline, though, EXR is superior in most respects. Our pipeline usually goes from the client-supplied ProRes reel -> DPX -> preprocessing to reduce noise and convert to linear -> EXR -> Visual effects processes -> Rec.709 H.264 for review and log DPX for deliverables.
If you want a ridiculously in-depth look at gamut, bit-depth, and file types, among other topics:
http://www.bryanray.name/wordpress/anatomy-of-an-image/edit: I have no theories to offer concerning your performance problem. I've noticed Fusion takes a while to load a Quicktime, but once it's there it seems to play smoothly for me. Not sure I've ever dealt directly with DNx, though.