Just make sure that you download the latest GoodReader (v.3.14.2) optimized for new retina display on the iPad (3rd gen.)
I'd much prefer to have streaming links for the videos I bought.
As for now I download them with the Mac and simply add them to my default video player app (not the native one), so that I don't have to import them in iTunes.
It's quite hassle-free. The hardest step is still the download (which by the way got better with S3).