I'm a researcher/engineer with a lot of experience in media compression and streaming technologies, so I thought I'd explain the differences between these formats in some detail:
All of these formats (WMV, AVI, MP4) are media container formats, meaning that their purpose is just to bundle together encoded audio (e.g., AAC or MP3) and video streams (e.g. H.264 or DivX). As such, the container formats are not very important compared to the actual media streams they contain.
That being said, I prefer the MP4 container format because it has excellent support across different platforms, and works well with the most popular audio/video coding formats. If you use AAC for audio, H.264 for video, and MP4 as the container, chances are it will work on everything (phones, tablets, game consoles, PCs, set-top boxes, ...).
AVI is an old format designed by Microsoft that has been extended several times to do more than it was originally intended for. It is an inefficient format that is slowly but steadily dying out. I won't miss it.
WMV (also known as "ASF") is a more recent format, also designed by Microsoft. It is more efficient than AVI, but is mostly used with Microsoft's own codecs (instead of the more common AAC/H.264 formats supported by all devices today).
Btw, here's a table that compares features in different container formats:
http://en.wikipedia.org/wiki/Compari...tainer_formats