DMG files are disk images that are compressed using Apple's proprietary format and Mac OS X default disk image format.  The fact that the DMG disk images are compressed poses a compatibility problem to most Windows users and earlier Mac OS versions, e.g. Mac OS 9.  The ISO (a.k.a. CDR under Mac OS X) disk image format is universally supported, therefore it's a much better choice for storing files or making a disk image backup.

DMG files also cannot be directly cloned (e.g. using "dd" under OSX or using HDD Raw Copy under Windows) because they are compressed.

So if you're stuck with a DMG file and would like to convert it to ISO in order to feed it to a disk image burner/cloner app (or to "dd") then follow these steps:

Under Classic Mac OS (before Mac OS X)

You can't, unless the DMG files are uncompressed (rare) in which case you would use Toast 5 Titanium to mount the DMG file and then you'd make a new Toast disk image of that mounted volume, but don't count on it, because most DMG files cannot be mounted under classic Mac OS.

Under Mac OS X

1. Mount the DMG disk image you want converted to CDR format by double-clicking it in the Finder.
2. Launch Disk Utility (found in Applications > Utilities)
3. Select the .dmg image from the sidebar list and then click the "Convert" button in the toolbar.
4. Pull down the "Image Format" menu and choose "DVD/CD master", then click "Save".

Under Windows

Using PowerISO: Open the DMG file in PowerISO, then select TOOLS menu > CONVERT... and then in the "Convert" window that will appear, make sure you tick the ISO checkbox, set the destination save file path and hit OK to save the ISO file.