Assets and uploaded files have a 10mb file size limit. If you get an error or "Page not displayed" or other error when trying to upload a new file, check to make sure it falls within the 10mb file size limit.
Large files that have do with content, such as .pdf and .docx files, images used for sliders and galleries, Flash files, XML files, video files, audio files, should all be uploaded to the Uploaded Files section of your shop. Those files don't belong to your theme assets. When you think of your theme, think about 'look and feel' and 'presentation'.