Yes. You can convert either format iPod to the other.
To convert a Windows iPod into a Mac iPod, just download iPod Software Updater 1.3.1 (1st & 2nd gen.) for Mac OS X. Download Software Updater 2.1 for 3rd gen. iPods. Once the appropriate Updater has been installed onto your Mac, run it while your Windows iPod is connected to the FireWire port on the Mac. Be sure to select “Restore” instead of “Update”.
NOTE: Running Restore from the iPod Updater reformats your iPod’s HDD and will therefore delete all the MP3s stored there – make sure the MP3s you want to keep are saved elsewhere, like on your computer. Performing a conversion may violate your iPod’s warranty and/or Apple will not give you any support for your iPod after having converted it.