VLC for iOS is badass! There are tons of ways to import content, including the web browser method discussed above and via SMB network shares.
The Files app in iOS 13 or later can also import content from SMB shares, though last I tried this, I couldn't figure out how to copy the files to the local storage on the device. Safari in iOS 13 or later also allows you to download any file from the Internet, so this is another way to obtain content if you wish.
Finally, you can use Apple's Lightning to USB 3 Camera Adapter to connect flash drives and SSDs to your phone. This requires iOS 13 or later, and at least on my iPhone 6s, you have to connect the adapter to a power source using a Lightning cable to provide enough power to the USB device. I don't know if newer phones provide more power, and it doesn't seem to work on portable mechanical hard drives. My suspicion is that these simply require more power than the adapter can supply, even when connected to an independent power source. You'll most likely need to get a desktop hard drive that has its own power supply in order to use these with iOS.
Grab my Adventure at C: stages
Right here.