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 starting point to see what you can do purely through the editor and using scripting. No 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.