Yeah, the file system may seem rather elusive when you're not rooted yet and haven't thumbed through a file manager (although I realize I'm making assumptions here). Even though you may look in the Gallery and see them all in there, that's just the app that makes them easier to look at. UKCatFan specified the directory that camera pix go to by default (.../sdcard/DCIM/camera).
Images you download through your browser/email/other means typically go to .../sdcard/bluetooth/images. Yes, even though you may not have used bluetooth to get them.
Videos taken with the camera go to the same place as stillshots with the camera, but videos downloaded should be going to .../sdcard/download.
If you're not rooted yet, download AndroZip (there's a free version) from the Android Market, and look in the directories (folders) described here. If you are rooted, go ahead and buy Root Explorer, because, well, it's better. lol.
At any rate, you should find that all of those items are indeed on your SD. your phone's internal memory doesn't even have a normal place for media like that for the most part unless it's ringtones/alarm sounds/etc that the system uses for specific purposes.