Sample data is mostly stored in the Content git sub-module. If any data is missing, make sure your git sub-module is updated (
git submodule update).
Some samples may come purely as data (editor projects). Other samples require custom code. Sample code is generally only available if the CMake build switch EZ_BUILD_SAMPLES is set. Make sure to compile all sample projects, if you want to try them out.
The Testing Chambers project is a good start point to see what you can do purely through the editor and using scripting. No custom C++ code is used in this project.
If you want to see how you can extend the engine with your own C++ code through a plugin, have a look at the Sample Game Plugin or the RTS Sample. The former shows just the basics to get your own code running. The latter goes a bit further and shows how you can make a simple game.