for i in *.wav; do lame "$i" "`basename "$i" .wav`".mp3; done
To set the bitarte (128 is absolutely ok, though audiophiles may want to use 192 kbit/s) add the following:
for i in *.wav; do lame -b 128 "$i" "`basename "$i" .wav`".mp3; done
Another useful option is
Choose between (s)tereo, (j)oint stereo, (f)orce jpint stereo, (d)ual channel and (m)ono. Useful if you have e.g. voice recordings and want to convert them to stereo.
Have a look at the man page for more.