There are several approaches to migration, depending on the source of the data (e.g. file server, existing SharePoint server etc) and volume of documents. Here are the most common approaches:
A. Explorer View - Within Sharepoint, open up Document Library, click on 'Library' under 'Library Tools' on the ribbon, click 'Open with Explorer' - now you get an Explorer window that you can simply drag files and folders into.
Pro: Quick and easy.
Con: No audit trail, may stop partway through if any issues with no retry and no record of how far the transfer got; if transferring from SharePoint, no metadata is included.
B. Sync to SharePoint Workspace - Connect a document library to SharePoint Workspace ('Sync to SharePoint Workspace' option on 'Library' under 'Library Tools' on ribbon), then just drag and drop files/folders into the local synced folder, relying on SharePoint to get everything synced up.
Pro: The advantage of SharePoint looking after errors/retries etc.
Con: This might take longer than option A.