You can email the files, use iOS file Sharing or a cloud service like DropBox.
The most important thing to know is that you must have an app on the iPad in which you can store, and edit the files if you want to transfer and save them. Apps like iBooks, Adobe Reader or GoodReader for PDF files, Pages or Documents to Go for Word files, Numbers for Excel Files (Documents to Go works with Excel files and PowerPoint files) and so on.
Another way. You can use a USB flash drive & the camera connection kit.
Plug the USB flash drive into your computer & create a new folder titled DCIM. Then put your movie/photo files into the folder. The files must have a filename with exactly 8 characters long (no spaces) plus the file extension (i.e., my-movie.mov; DSCN0164.jpg).
Now plug the flash drive into the iPad using the camera connection kit. Open the Photos app, the movie/photo files should appear & you can import. (You can not export using the camera connection kit.)
Secrets of the iPad Camera Connection Kit