Selling Digital Downloads
If you want to sell digital downloads like videos or eBook PDFs, unfortunately we do not currently have built-in features to manage this, so the best way to sell digital downloads is via a third party digital download service, integrated into the website via embedded "buy now" checkout buttons.
There are a variety of companies that will handle everything involved with managing and selling digital downloads, and you can upload your videos, PDFs, etc. there, set pricing, and then generate a “buy now” button that you can then insert onto the relevant page of the website.
For example you could create a gallery page or series of gallery pages of your available products, then at the bottom of those pages you’d embed the “buy now” buttons generated from the digital download service. Note that this would be a separate checkout from the normal website cart, as the checkout and payments would be handled by the third party digital download service.
Here are some digital download services that would work in this way (I only have experience with Send Owl, but the others look similar so the choice would depend on the pricing and/or features they offer which best fit your needs).
sendowl.com
getdpd.com
e-junkie.com
Free Digital Downloads
On the other hand if you simply want to link to a PDF for free download, there’s not currently a means to upload PDF files through the admin, so the way to do this would be to upload them to a file sharing service like Dropbox or similar (I use Filen.io). From there you can create a public download link for the file(s) then just enter that link wherever you want on the website.
Another common scenario is to offer a free digital download when someone signs up for your newsletter, or as a bonus when they make another purchase through your website. In this case, you can include the same public download link mentioned above, but put it into your subscription completion email (configured through your mailing service account), or your order confirmation emails (configured in the admin at Mail > Order Emails).