Depends on where you want it to appear and what you want to do with it.
If you want it to show up in the Movies app you have to sync it through iTunes on a computer.
To get it into the Photos app you can also use iTunes, by treating it as a photo in photo syncing. This can be a pain, since you also have to use iTunes to remove it.
Or you can use a third party photo/video transfer app like PhotoSync (no hyphen). There are several of these, some of which have optional computer side clients.
Finally, if you don't care if it ends up in Movies or Photos, then you can use one of several available third party apps, like OPlayer, to store and play video clips. Most have several ways of importing video content. This solution is the most versatile when it comes to watching different video formats. The Movies and Photos apps pretty limited in this regard.
Note: The clips must end up in the Photos app if you intend to use them with iMovie, or many other movie editing apps.
