Couple of things:
There is an app designed to browse/download pictures from your MobileMe account
As people have said, you cannot create a directory structure on the iPad, so all photos you save go into the same folder
When you connect your iPad to a computer once a "saved pictures" folder exists you can browse to it and copy files from it without iTunes
To create multiple folders on your iPad for photos:
- Create a single photo folder on your computer where you want all your photos to be synched
- Create subfolders based on how you want your iPad to create albums (each folder becomes an album) and put all your pics in the appropriate places
- Within iTunes, click the photos tab, and select the folder to synch. Browse to the folder you created, and iTunes will recognize all the subfolders and how many images in each exist. Once you finish and click "Apply", iTunes will create a directory structure on the iPad and copy your files over
--NOTE: Nested directories won't work. If you do have nested directories, iTunes will still sync all the images but will put them all in one folder
