It's always easy to convert to windows media formats. And a pain to convert from them. Guess Microsoft wants it that way so they can get some really tasty DRM going with it. Maybe WM have some good technology and codecs nowadays. But as long as their codecs can't play nice with third party apps like so many others (DivX, MPEG2 etc) I don't bother with WM.
And before you mention Quicktime and Real; I think they are even worse.
I find it easy to convert from and to Windows Media. I use third party applications such as Virtual Dub. My only issue is that I can't convert audio in avi files to WMA, I can only convert to WMV using the WM9 VCM that Microsoft released.