There was a time when you could install the sample database for SQL Server using a very simple set of SQL scripts. Of course, that database was called PUBS and it was, by current standards, pretty darn small and unsophisticated.
Next, Microsoft put out the Northwind database as the primary sample database for SQL Server. If memory serves me right, I believe this was also the sample database that shipped with MS-Access at that time. So it makes -some- sense that you'd want people familiar with the sample database on one platform to make a connection with the sample database on the other.
Lately, Microsoft has been shipping the AdventureWorks database with SQL Server 2005 and an AdventureWorks BI cube as well. This is a much larger and more sophisticated database, though I personally find that the example code in stored procedures and the like isn't a huge improvement over the PUBS and Northwind days.
So what's a body to do when you realize that you want to install the database but didn't do so upon installation? What if you don't have the CD's handy? Well, you can always go to you the web and download the database from here:
I'm still really familiar with and comfortable in PUBS. But, I'll tell you, I have to get with the times. If you're not using AdventureWorks either, now's a great time to get it installed and running. And while you're at it, slap an ERD of the AdventureWorks schema on your cubicle wall so that you can get familiar with the database. That way, you'll quickly learn the entities and relationships in AdventureWorks so that you can craft clever sample queries and procedural code quickly and easily.