Lots of posts on these forums regarding this question. Basically the built in video player is a version of apples QuickTime and llooks for files in the mp4 format.
Best free converter is Handbrake but there are many others out there.
Another option is to stream your videos from your desktop to your iPad using a program such as AirVideo. You simply run a small program on your desktop on startup and when you load your app on the iPad it connects, converts and displays the video.
It's great for saving space on the iPad as most converted videos range from 750 mb to 1.4 gb.
