At the time of this post, Apple has no “native” way to download a video directly to an iPad or iPhone.  That being said, it’s easy to accomplish this and you have a couple options.
First Option: Download the video to your computer and then put it in iTunes.  Then sync the iPad or iPhone with iTunes.
Second Option: Get a free (or paid) Download Manager App from the App Store and download the video directly to your iPad or iPhone.  Just copy the download link (hold and click to copy), open the download manager app on the device and paste the link in the browser (of the download manager).  It will then be downloaded directly to your iPhone or iPad and will be available through that app at any time. There are a bunch of good free download managers available so we won’t list names here.  If you are having any trouble with this process, please contact support and we’ll help you out.