There isn't a decent plugin to allow to create folders within the media library. As they are just catergories that you can add.
I think WP would be beneficial with a folder management system with the media library to help organise files in the library.
Simply when you click add new, a drop down menu will appear asking if you want to add new files or folder. Add new folder and then what ever files you have already in your media library you can drag it into that folder or click the file and allocate it a folder in the right hand sidebar section.
Just be easier for us and clients to be able to find files easier within their media library.