It depends on what you intend to use it for, and if you want to play it on your TV via the DVD player. While WMV is generally a PC format and compatible with many media players, both AVI and MPEG2 are playable in most up-to-date DVD players.
It also depends on size. MPEG2 is a larger file size than AVI, so if you have a lot of footage (eg; 3 plus hours), the AVI format would be the better one to use. Also, if your AVI file is smaller than 700mb, you can burn to a CD (rather than a DVD) and still play it in your DVD player. However, if you wish to convert to the DVD format later on, MPEG2, I find, converts easily and quite smoothly.
Hope this is of some assistance to you. 
