On occasion, I have downloaded a sample project for Visual Studio which requires a reference to a sample database.  Of course, I never have that database installed, so I have to go on a hunt to find the database creation files.

The two most common samples I come across are the Northwind database (old sample for Sql Server 200) and the AdventureWorks database (sample for Sql Server 2008). If you need to install one of these sample db's, you can find them all on this CodePlex project...

Microsoft SqlServer Community Projects and Product Samples (databases and sample projects)

and

Microsoft SqlServer Database Product Samples (just the databases)