Finnish is one of the languages that are not happy with the basic, US centric ASCII character set: in order to make sense, we need also all those fancy umlauts, also known as “ääkköset”.
It is currently possible to get umlauts and accented characters by pressing and holding certain US keys in iPad, but typing anything but a single sentence that way is too much work. There is also a “Finnish Keyboard” app published for the device, but that has a non-standard keyboard layout and it does not integrate with the other apps, making it waste of money.
The system I have found to work best is to install and use iPhone rather than iPad apps for writing Finnish in iPad. For some reason the full Finnish keyboard emerges when you launch the iPhone app – probably the iOS of iPad has also the iPhone software libraries (necessary for running those iPhone apps in native mode), and the Scandinavian languages are supported in iPhone so – voilà – there you have the Finnish keyboard in iPad. It is a good idea to press that “2X” button at lower right corner to have more comfortable writing room. WriteRoom is currently my favourite app for those writing works; it is simple, focused on distraction-free typing and has sync to online service (at http://www.simpletext.ws) that does its job for importing text to PC.
According to tech news, iOS 4.2 should arrive in November and bring support to new languages, so supposedly true iPad text editors such as Pages will get their Finnish keyboard layouts later this year. Meanwhile, the iPhone app workaround appears to be the best solution I have found.