After lots of searching, I found a video player that's free and can do play list for video. I only tested it with mp4, but I guess would probably work for other video types.
The name of the app is GPlayer.
Once you installed it, You need to bring up itune and click on your iPad.
== To do in ITune ==
Select "Apps" in the ipad tab. Scroll down to bottom, you should see File Sharing.
In the "Apps" section you should see "GPlayer".
Click the "Add..." button to your right. This should let you add the mp4 that you want.
After adding all your files, it should sync with your iPad.
== To do in your IPad ==
Launch the "GPlayer" app, now you should see all the mp4 added.
In Settings, select "Repeat Mode = Repeat All"
Click the first video/song choose "software decoding" it should start playing, then will continue to the next and so forth.
Unfortunately this is a free app, so it comes with a small Ad on top, it's quite small and for me is livable. Unless you want to upgrade to the full version..
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One other thing, the sorting of video is automatically alphabetically, which isn't always what you want. I renamed all my video songs starting with "1a song name", "1b song name", "1c song name"... it orders it nicely. If you have more than 26 video songs, you can do "2a song name", "2b song name", etc...
