Ok you have many options I choose to use flex player because it's a drag and drop system from iTunes in any format and I use air video so I can stream from my pc to my iPad from anywhere as long as I have ainternet connection it's like having a 4 tb iPad
If you need more info on standalone(!!!) players not requiring a desktop to operate, check out the thread at http://www.ipadforums.net/ipad-apps/17801-best-video-player-apps-ipad.html . Pay special attention to my posts there. (Actually, it's the best to read them first as the thread has some not very founded recommendations I, then, objected to.)
Most downloaded shows are AVI files, as I said, but inside that “wrapper” is the actual movie file. This will almost always be an XVID or an H.264 file.