Two things I must point out:
1. AVI is not a "unique" video format per se (like Windows Media Video) - rather, it's a "host" format for a bunch of different codecs. That's why many AVI files won't play on a Mac unless you have the proper codec.
2. I know of no software that can convert WMV files on the Mac; that doesn't mean there isn't any, since I haven't searched.
As said above, .avi is actually a "container" for various video formats, like DiVX. There are a few utilities that say they can convert WMA to other formats, but none that will convert WMV. Maybe I missed something though, check out VersionTracker and just search for WMV.