First of all, only M4V, MP4 and MOV files are officially supported by iTunes and iOS devices. So if you drag and drop those videos on your iTunes library, they should be added immediately. If you drop other files, nothing happens.
However, it's a general misconception that all other videos (such as AVI, MKV, WMP, OGG, ...) require reconversion. You can actually add those video files without conversions as well. There are tools that allow you to do that. The advantage is that it's very fast compared to time consuming conversions. It's a great way to use iTunes as a front-end catalog for all your videos.
I use VideoDrive for this (but there are others as well like ivi and miro), because it also downloads artwork and metadata (descriptions, episode info, director, ...) and adds that information to your iTunes library as well. The result is a unified iTunes library where you cannot tell the difference with movies from the iTunes Store.
So in short: if you only have a couple of files, convert them one by one with a tool such as HandBrake. If you have a lot of movies and TV Shows, a dedicated tool for video imports in iTunes is a better solution as these tools can also be used to automate the import process and add metadata as well.