Lots of PDF readers out there. iBooks is free, and a good enough place t start for book style PDF files If you search the App Store you'll find a couple of CHM readers as well.
The easiest beginner ways to add books is probably email. You just email the books to yourself, then use the Open In function in Mail to copy them to the required app. Here is a recent thread that should help with handling attachments from Mail.
http://www.ipadforums.net/ipad-help/61115-emailing-ipad.html
PDF files can also be added to your iTunes library and synced; or you can use iTunes File Sharing if the app supports it. Check out the iPad manual (iPad User Guide) that Leelai linked for you. It has the info you need understand these and many other iPad features.
I agree with dMog that ePubs make for a better reading experience in the iBook app. I'm not going to go into it here, but if you use the custom Google Search at the top of the web page you should find several threads on the subject of converting eBooks. Along with ePub, try searching for Calibre.