This post is kinda dated, so I'm just replying for reference.
Both D-Vision (free)
and ffmpegX (was shareware, now donationware I think) (found via forum.divx.com)
quote from http://ubuntuforums.org/archive/index.php/t-85718.html
"To join separate mpeg files (for example a movie) into one smooth mpeg file:
cat file1.mpg file2.mpg file3.mpg... > filename.mpg
Pay attention to the order of files after the cat command, it will determine the sequence within the final file.
This will ONLY join the files! It has NO EFFECT on the quality.
It DOES NOT work with AVI files!"
This is because of the file structure and the "index" avi files use. The 2nd post there points out that you could use cat if afterwards you rebuild the index/structure using mplayer (might also work with vlc). However, if you have to use 2 programs, you might as well use a frontend that does it all for you (D-Vision for example uses either avimerge or mplayer I think)