As others said - canonical way is to use iTunes. Another way is to use app like GoodReader, which has a file system of its own, you can create folders, and you

As others said - canonical way is to use iTunes. Another way is to use app like GoodReader, which has a file system of its own, you can create folders, and you can download files from websites/URLs to them. GoodReader can not only store and organize your files, but it also opens all the popular formats in the app (PDFs, images, MP3s, etc.).