The different files end up in the apps that they apply to. Books/PDF's will go to the iBook app. Audio files should end up under Podcasts in the Music app. Video files should end up in the Videos app.
All of them (when it's working correctly) should launch straight from the iTunes U app. As of this moment the only stuff in my iTunes U app is the content I had previously downloaded from iTunes U. It isn't all launching from there. I'm hoping all I need to do is give it a little more time to sync; or maybe it will only work right when all the content is subscribed to and downloaded from the iTunes U app.
I've still got a lot of exploring to do with the new stuff announced yesterday. If I find out anything more definite I'll come back to this thread and post it.