I tend to prefer buying in iTunes itself but it shouldn't matter.
The TV Show should list either in iTunes > ITunes Store Home Page in QuickLinks on the right, find Purchases and select TV Shows - that should allow you to download.
On AppleTV under TV shows look in Purchases - it should be there and will play from teh cloud but not copy to iTunes
I just got thie iPad yesterday, so this may totally be an Id10t error on my part...
The thing spent the night downloading YV shows, and today when I went to play them from the purchased section of iTunes it only let me watch a 30 second preview (that it had to download) or gave me the option of downloading them again. I'm hoping to load this thing up with content for a flight tomorrw...is there a way to download stuff and have it live on the iPad so I can watch it without a wi-fi connection?