  We use the scale of Besov spaces B^\alpha_{\tau,\tau}(O), \alpha>0,
1/\tau=\alpha/d+1/p, p fixed, to study the spatial regularity of the solutions
of linear parabolic stochastic partial differential equations on bounded
Lipschitz domains O\subset R^d. The Besov smoothness determines the order of
convergence that can be achieved by nonlinear approximation schemes. The proofs
are based on a combination of weighted Sobolev estimates and characterizations
of Besov spaces by wavelet expansions.
