Converting different audio formats in Ubuntu is quite an easy task. Just start Soundconverter, or first install it, if you don't have.
sudo apt-get install soundconverter
But I needed to do it in command line. Soundconverter can do it either. (What a good boy!) But you just need to know the mime-type of the output file (simply adding the desired suffix doesn't work). For example, to convert "my_favourite mp3" to wav you can use:
soundconverter -b -m audio/x-wav -s .wav my_favourite.mp3
See the full list of mime types.
For the available options see