Most high-througput data can be viewed as a continous score over the bases of the genome. In case of RNA-seq or ChIP-seq experiments the data can be represented as read coverage values per genomic base position. In addition, other information (not necesseraily from high-throughput experiments) ca be represented this way. The GC content and conservation scores per base are prime examples of other data sets that can be represented as scores. This sort of data can be stored as a generic text file or can have special formats such as Wig (stands for wiggle) from UCSC, or the bigWig format is which is indexed binary format of the wig files. The bigWig format is great for data that covers large fraction of the genome with varying scores, because the file is much smaller than regular text files that have the same information and it can be queried easier since it is indexed.
In R/Bioconductor, the continous data can also be represented in a compressed format, in a format called Rle vector, which stands for run-length encoded vector. This gives supperior memory performance over regular vectors because repeating consecutive values are represented as one value in the Rle vector. Typically for genome-wide data you will have a RleList object which is a list of Rle vectors per chromosome. You can obtain such vectors by reading the reads in and calling coverage() function from GenomicRanges package. Let's try that on the above data set.
One of the most common types of storing score data is, as mentioned, wig or bigWig format. Most of the ENCODE project data can be downloaded in bigWig format and conservation scores can be also downloaded as wig/bigWig format. You can also import bigWig files into R using import() function from rtracklayer package. However, it is generally not advisible to read the whole bigWig file in memory as it is in BAM files. Usually, you will be interested in only a fraction of the genome, such as promoters, exons etc. So it is best you extract the data for those regions and read those into memory rather than the whole file.