Microsoft has moved away from providing samples in SDKs for a number of reasons, but primarily to reduce the size of the standalone downloads and to minimize the size of the SDKs when included in other products (such as the Windows 8.x SDK being included with VS 2012 and VS 2013). The MSDN Code Gallery provides an online repository for samples, including both official Microsoft samples as well as community contributions. Here’s a list of the samples from the legacy DirectX SDK (June 2010) and their locations online if available.
Update: As of the Windows 10 SDK, official Windows samples are hosted on GitHub: Windows-universal-samples, Windows-classic-samples, Windows-driver-samples. Most of these republished legacy DirectX SDK samples can be found on GitHub as well.
The majority of these samples are Windows desktop applications. Where applicable, the table also notes similar samples for Windows Store apps on Windows 8.x.
Tutorial01 - 07 Direct3D Tutorial Win32 Sample
Windows Store apps version: Direct3D tutorial sample
Tutorial08-10 DXUT Tutorial Win32 Sample
Tutorial11-14 Effects Tutorial Win32 Sample
DirectCompute Graphics Win32 Samples
Windows Store app samples:Direct3D HLSL fractal generator sample
Basic DXUT Win32 Samples
DXUT+DirectXTK Simple Win32 Sample
Effects 11 Win32 Samples
These samples make use of the Effects 11 (FX11) library.
BC6H/BC7 DirectCompute Encoder Tool (Win32)
Note this functionality is also present in the latest DirectXTex.
Direct3D Shadow Win32 Samples
Windows Store app samples: Shadow mapping sample
An updated version of this sample is posted here.
The DDSTextureLoader for Direct3D 11 from this sample is available in both DirectXTK and DirectXTex.
Dynamic Shader Linkage Win32 Sample
Direct3D Multithreaded Rendering Win32 Sample
Direct3D Tessellation Win32 Samples
UVAtlas on CodePlex
DirectXMath Win32 Sample
Samples Content Exporter Update
Core Detection Sample (Win32)
Direct3D 11 Install Helper (Win32)
Windows Firewall Install Helper (Win32)
Gameux Install Helper (Win32)
DirectX Video Memory (Win32)
XInput Samples (Win32)
XInput 1.4 is only supported on Windows 8.x. XInput 1.3 is only available in the DirectX SDK.
See XINPUT and Windows 8 for more information.
Windows Store sample:Game controller sample
XAudio2 Samples (Win32)
XAudio 2.8 is only supported on Windows 8.x. XAudio 2.7 is only available in the DirectX SDK.
See XAudio2 and Windows 8 for more information.
Windows Store app samples:Audio file playback sampleAudio stream effect sample
DirectXTK for Audio is also a sample of XAudio2 usage, and is demonstrated in the DirectX TK Simple Samples.
Customformat FFConst Joystick
DirectInput Samples (Win32)
Keyboard and Mouse samples are not included as use of DirectInput for these scenarios is not recommended.
A list of Windows 7.x SDK DirectShow samples is available on MSDN.
WIC Progressive Decode Win32 SampleWIC Animated GIF Win32 SampleWIC and Direct2D Image Viewer Win32 Sample
AMD Radeon SDK (see the archive page)
The Direct3D 9 samples require D3DX9, so these remain available only in the DirectX SDK.
The DirectX SDK 8.1 was the last to contain the DirectDraw samples.
DirectX 9.0b (Summer 2003) was the last release of the DirectMusic or DirectPlay samples.
The DirectX SDK (November 2007) release was the last time the DirectSound samples were shipped.
The DirectX SDK (August 2006) release was the last time the C# samples for legacy Managed DirectX 1.1 were shipped
The DirectX SDK (June 2010) contains the last release of XACT and related samples.
Related: DXUT for Win32 Desktop Update, Living without D3DX, DirectX SDK Tools Catalog