Try the OGR2OGR console program. see
http://casoilresource.lawr.ucdavis.edu/drupal/node/553. Easiest to get OGR2OGR as part of FWTools:
http://fwtools.maptools.org/For example:
Convert GPX to shapefile:
ogr2ogr destination.shp source.gpx
Convert shapefile to GPX:
ogr2ogr -f GPX -dsco GPX_USE_EXTENSIONS=YES destination.gpx source.shp