The software that you want is called iDVD and it was preinstalled on your Mac. MPEG4 is native to QuickTime and the Mac. AVI is a container, most of which are DivX-encoded. WMA is the audio track of Windows media. Generally, you will be fine with the Flip4Mac (for WMV) and Perian (for darned near everything else) QuickTime codecs installed.
Many Mac users swear by Toast, a commercial DVD authoring application. It includes the codecs that iDVD users must acquire on their own.