There are many types of vector formats used in GIS, and even more raster formats. It is often necessary to change between file formats, even if they are both raster, or both vector, to make data sets useable together. There are many free, and commercial, translator and converter software available on the web. Some GIS programs support this type of conversion also; for example, the conversion tool available in ArcGIS can be used to switch between a number of formats.
Moving from vector to raster is not that difficult. A line or polygon is simply given a pixel value. The opposite is not true though. The problem is that one line might be several pixels wide, therefore one has to skeletonize the line, often leaving it very jagged. This is a time consuming and complicated procedure. Sometimes it is impossible to exchange, and one cannot move between the formats. If this is the case, the map has to be re-digitized. In other instances, there is just a poor translation, and data is lost in the exchange.