The latest and greatest addition to the App Store is VLC Media Player for iPad. If you haven't heard of VLC Player, it is a free video player that will play almost every format of video. Now that this app is on your iPad, there is no need to convert videos to Apple's MP4 format and then send it to your iPad.
Best of all, the app is being offered for free by Applidium for your iPad. VLC Media Player will be later released for iPhone and iPod touch.