basically there is no difference ... they are both containers for music and/or video. (not wholly true - compression and quality per kB come in to it along with other factors ... but go with the thought) - and in a player - size matters
the difference is in the player - some support a format - some don't (vhs and betamax) - so it creates a certain exclusivity.
additionally some formats allow the inclusion of drm etc... to cut down on copying
blah blah bla -
should you convert - if it aint broke
but convert a couple - see if there is a drastic size difference