Where did the WMAs originate from? An online music store? Ripped from a CD? If from an online store, more than likely, they have DRM protection in place. If CD, likely not.
iTunes for Windows will import and convert non-DRM-protected WMA files, which can then be transferred to your Mac's iTunes. I know not whether iTunes for Mac imports/converts WMA files -- I suspect not, but if so, that'd save a step.
If you have WMAs that have DRM protection, then you cannot import them into iTunes. In the United States, this is illegal (as it violates the section of the DMCA concerning circumvention of copy protection measures), so you're out of luck trying to "crack" the protection on the WMA files. One option is to burn those WMA files to a CD in an audio CD format (one that can be played in a regular CD player), then import them into iTunes as if you were importing a regular, store-bought music CD. This degrades the quality of the tracks slightly (as you've now done a double-encode -- much like copying a copy of a cassette tape back in the 80s -- each copy gets progressively worse), but is the only "legal" way to remove the copy protection from those files.
As for the MP3s that won't import, I don't know what's up with those. They may be corrupt or have some problem with them that prevents importing. Are they standard MP3s that you created yourself? Downloaded from somewhere? Ripped from CDs?