Batch convert videos from MPG to AVI

SUPER © (Simplified Universal Player Encoder & Renderer) can do it. One of its features is multiple batch file processing by simple file drag and drop, and it's freeware.

Direct download link

With FFmpeg, which will not re-encode the videos in any way and therefore preserve quality:

ffmpeg -i file.mpg -c:v copy -c:a copy file.avi

In a batch file, e.g. for Linux:

while IFS= read -d $'\0' -r file ; do
  ffmpeg -i "$file" -c:v copy -c:a copy ${file%%.mpg}.avi
done < <(find . -iname '*.mpg' -print0)

In a batch file, e.g. for Windows:

for /r %%i in (*.mpg) do (
ffmpeg -i %%i -c:v copy -c:a copy %%i~n.avi
)

The last example requires the Windows build of ffmpeg.