No more sample databases and applications are included with SQL Server installation!
As you have seen since SQL Server 2005 release the sample databases are not included and as I mentioned in SampleDBs blog you have to download from the SQL Server Samples Web site. Also SQL 2008 BOL will no longer include the databases & applications, all you have to refer the samples website to download, these will include only SQL Server & Business Intelligence technologies.
By participating in community, you can get more information on the samples. There are various websites availble through samples contributed by developers, users, and the MVP community.