For instance, we need to convert all .gif to .jpg

Execute next commands in terminal

> cd /vaw/www/media/catalog/product/
> for i in $(find $(pwd) -name \*.gif -print); do convert $i $(echo $i.jpg | sed s/.gif//g); done
> rm -r cache/

Then, run these SQL-statements in DB

UPDATE `catalog_product_entity_varchar`
SET `value` = REPLACE(`value`, '.gif', '.jpg') 
WHERE `attribute_id` IN 
    (SELECT `attribute_id` FROM `eav_attribute`
        WHERE `attribute_code` IN ('image', 'small_image', 'thumbnail') AND `entity_type_id` = 4
    )
; 
UPDATE `catalog_product_entity_media_gallery`
SET `value` = REPLACE(`value`, '.gif', '.jpg');