The SQL Server sample databases can be found at http://msftdbprodsamples.codeplex.com/.
You can choose to install both SQL Server 2014 OLTP and DW samples. If you are going to try the recipes that involve Analysis Services cubes, then you definitely have to install the DW samples.
Complete instructions on how to install the sample databases can be found at http://social.technet.microsoft.com/wiki/contents/articles/3735.sql-server-samples-readme-en-us.aspx#Readme_for_Adventure_Works_Sample_Databases.