You will have to go through and download albums/songs etc you want to have locally on the iPad so that they will play when in Airplane mode. Much like how you'd have to sit at iTunes and choose which songs to sync (unless you did auto syncing).
What I've found that helps is that if you create a playlist in iTunes, that playlist will get sent to your device automatically. Then on your iPad, you can go into the playlist.....scroll to the end and choose download all.
-Kevin