For images see this previous thread
Essentially you can associate videos as images as well. Local pdf files can use internal link syntax [[⋯]] or file links [link title](file:///⋯). Create file links using drag and drop.
This is screencapture from Tagged Gallery plugin:
If I understand correctly, right clicking an image in this gallery view should show context menu where you can choose “Open meta file”. This meta file can contain anything like a video link or a file link. You could post a feature request to the plugin repo if you want left click to open meta file.
Similar plugins can be found in this link https://github.com/lucaorio/obsidian-image-gallery/forks.