If you don't have a computer to save them, or don't' want to do it that way, you can save them online.
You can save them directly to YouTube from the Photos app. (YouTube videos can be public or private, remember).
If you have iMovie you can dress them up a bit then export them to a variety of online sharing or storage sites.
You can use a cloud service like DropBox or Box.net. DropBox's app will let you save photos and videos directly to the site. You can use GoodReader to upload and download from a large selection of cloud storage sites; even iCloud.
I can't answer the file conversion question. I suggest you use the custom google search at the top of the web page. I know it's been discussed before.
There are a few wi-fi hard drive and external storage solutions. The GoFlex Satellite and AirStash are often mentioned.
A few members have set up NAS servers, with companion apps I believe the've even managed to find a way to get to their content off the home network. Not sure about that last. Another thing worth searching the forum for.
Good Luck.