Rik gave a good description of Litz wire in a recent message and the hi
Q qualities and theory is correct, however in practical terms it depends
whether you really need a hi Q coil or not.
My experience shows-

1. A loading coil used to resonate a 136 khz antenna using normal 2.5 mm
insulated wire has a lower Q than Litz but more stable and less prone to
seasonal changes like, rain, sunshine, leaves on or off trees, wind
blowing the antenna wires about etc ie needs no retuning once set up for
optimum matching for a long period of time.

2. A loading coil of the same inductance wound with 4mm litz wire
behaves differently. Because of the much higher Q  the slightest breeze
or some rain and it needs retuning to resonance, also sudden
fluctuations are not good for the FET pa. It needs to be watched
carefully.
So it depends whether you want the last drop of RF and hi Q or a
fraction less RF and less trouble.
I cannot notice any real difference as regards radiating efficiency
between the two coils.
Anyone using 160 metres /M with the usual 8 ft loaded whip will have
noticed this when passing close to other vehicles or close to trees etc
and the higher the coil Q the worse it got.
I am currently experimenting with a 0.4 mh litz wound coil to resonate
my LF antenna and find it hard to keep spot on resonance with the recent
windy conditions. I did not have any problems in similar wx conditions
using 2.5mm insulated wire for the coil of the same inductance.
My system is all matched to 50 ohms and the swr monitored continuously
when transmitting so any fluctuations or changes are immediately
noticed.
I thing a  loop antenna wound with litz wire and exposed to the elements
would be even harder
to keep resonant because of the Q factor.
It would be interesting to hear others observations about Litz v Normal
insulated wire for outside resonating coils.
73 de Mal/G3KEV