There are two types of Assets that you might want to load: Rogue Assets, and external Assets.
These can be Images, 3d models, audio files, etc. There are multiple ways you can use them depending on the type of file. Let's look at some of them.
Images can be used by Materials and the Skybox. To load them, drop them on an Image field in the Inspector.
Supported image formats: jpg, png.
To load a 3D model you can drag the file and drop it either directly on the Scene window, the Hierarchy or a particular object in the Hierarchy if you wish to nest it.
Supported 3d model formats: gltf, fbx, obj.
Note: Please use GLTF whenever possible. This is the better supported format for WebGL.
Supported audio formats: wav, mp3, ogg, mkv.
Another way to load assets is to treat them as static files. To do this you just have to put them inside Assets/static. This route will be available from your built project as well so, go nuts... but not too much eh! Remember the loading times and all that. Fetch them wisely.