WMV/WMA (any WM/Windows Media file really) is proprietary to Microsoft and part of their DRM ecosystem, so unless Apple licenses it (not likely, given Apple seems to prefer non-proprietary MP4/H.264 formats, and has their own DRM solution), or Microsoft makes an iPhone App specifically to play them (possible), you're stuck with converting them.
In general, however, you're likely better off with you video and audio in as cross-platform as possible formats.