We study a class of photonic crystals in which both the dielectric constant epsilon and the magnetic permeability mu vary within the crystal. We find that in the case where both epsilon and mu have their maximum values in the same material, the photonic band gaps tend to disappear. However, in the opposite case where epsilon and mu have their maximum values in different materials, the gaps become wider with maximum gap over midgap frequency as high as 0.8. We also discuss the possibility of designing such photonic crystals with ferrites.