Native video app on iPad is junk. Load AVPlayerHD and watch avi, mkv, mov, mp4, whatever file you want. And it's simple to delete each video when you are done. Want to create folders to put all of the same TV show in. No problem.
Only downside is, you still have to connect to iTunes to move the file from your computer onto the iPad via the app. Still moving 3-4 Gigs of video to the iPad in under a minute isn't bad. I'd use Dropbox, but takes way to long to move a file the size of a TV show or movie over Wi-Fi.