MP3 it cuts out a lot of audible and semi inaudible frequencies. The extent to which is does this is determined by the bitrate it has been encoded at.
I think even with 320 kbps mp3 the freq range reproduction is between 15hz and about 15,500hz or even lower than that. That's why the most noticeable differences between mp3 and CD are often in the hihats. Or at least, most people notice flatter, tinnier hihats with mp3s because the frequency response doesn't extend that far.
It loses some sub bass response too but it depends on the record and the amount of bass presence. At high levels certain bass heavy recordings just lose something noticeably when played on PAs at club levels - even at 320 kbps.
Even though you can't physically hear ultra high and low frequency sound you can sometimes notice when its not there. Case in point - have someone blow a dog whistle near you. Then there is the fact that your speakers/headphones have an effective frequency response too.
Most people don't have audio equipment sensitive enough to pick up frequencies above 15,000 Hz, so they wouldnt notice any degradation in sound quality on say most mini hifi systems.