Of course, there's always perl:

perl -pi -e 's/\r//' file.txt      # for windows to unix
perl -pi -e 's/\n/\r\n/g' file.txt # for unix to windows
[download]

If you use this frequently under unix, you can alias it to something like:

alias w2u="perl -pi -e 's/\n/\r\n/g' "

Then you'll be able to just do w2u file every time you want to convert a file.

Please note: I haven't been able to check the unix to dos way as I don't have perl installed on my windows machine at home. Please let me know if it doesn't work.