The Place command is the primary method of importing, because it provides the highest level of support for file formats, placement options, and color. After you place a file, use the Links panel to identify, select, monitor, and update it.
For a video on importing files into Illustrator, see www.adobe.com/go/vid0033. For a video on importing and copying and pasting between web applications, see www.adobe.com/go/vid0193.