The PC version of iTunes can convert WMV and WMA into iPod formats I believe - but the Mac version cannot. Still there is software out there you can purchase that will do it.
I have the Flip for Mac codec - and it works wonderfully for playing WMV videos. Unfortunately streaming WMV does NOT work on my computer at all. I think it is an issue with Camino. I just close out of tabs when there's streaming video in it. I'm the type that is happy with my computer - and aside from Flip for Mac - refuse to go out of my way to make myself compatible with the PC world. If you look at my website with Internet Explorer - it won't display right. I know about this error - and I care not. I coded it with valid code, designed to display correctly in Mozilla/Netscape/Firefox/Camino.
You could also buy the DVDs, to support the site and so you have some cool coaster DVDs to watch - and if you need to - rip the video into iPod format. I do know you can do this with freeware. I need to buy some DVDs - at least the one of the latest UK trip.
And there is Quicktime streaming too - but it does make sense to use the WMV streaming. It will save a ton of money.