AVPlayerHD can be found in the App Store. Will play any video format and you can create and delete file folders from within the app. Basically, it's the best video player whether you are jailbroken or not. Download you mkv, avi, mp4, mov, etc files from whatever source you choose to get those from, then plug your ipad into the computer, open iTunes and then drag and drop your files into AVPlayer. Easy. I always use this on my iPad when going on road trips.
Netflix and Hulu+ are your other best options, but obviously require a wifi or 3g connection.