There are many photo apps in the app store that create psuedo folders but would only be visible with-in that app. But if you jailbreak then you can install photoAlbums+ for ipad from cydia and it will create physical albums within the natve photo app.
As noted above, jailbreaking is the only way at this time. However, with the introduction of iOS5 in the fall, it may be possible to manage albums on the iPad directly.