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.

The majority of these samples are Win32 desktop applications. Where applicable, the table also notes similar samples for Windows Store apps on Windows 8.x.

Direct3D 11

Tutorials

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

AdaptiveTessellationCS40
FluidCS11
HDRToneMappingCS11
NBodyGravityCS11
OIT11

DirectCompute Graphics Win32 Samples

Windows Store app samples:
Direct3D HLSL fractal generator sample

BasicCompute11
ComputeShaderSort11
DirectCompute Basic Win32 Samples
BasicHLSL11
EmptyProject11
SimpleSample11

Basic DXUT Win32 Samples

DXUT+DirectXTK Simple Win32 Sample

BasicHLSL10
DynamicShaderLinkageFX11
FixedFuncEMU
Instancing10

Effects 11 Win32 Samples

These samples make use of the Effects 11 (FX11) library.

BC6HBC7EncoderDecoder11

BC6H/BC7 DirectCompute Encoder Tool (Win32)

Note this functionality is also present in the latest DirectXTex.

CascadedShadowMaps11
VarianceShadows11

Direct3D Shadow Win32 Samples

Windows Store app samples:
Shadow mapping sample

DDSWithoutD3DX
DDSWithoutD3DX11

An updated version of this sample is posted here.

The DDSTextureLoader for Direct3D 11 from this sample is available in both DirectXTK and DirectXTex.

DynamicShaderLinkage11

Dynamic Shader Linkage Win32 Sample

MultithreadedRendering11

Direct3D Multithreaded Rendering Win32 Sample

SimpleBezier11
SubD11

Direct3D Tessellation Win32 Samples

Misc

Collision

DirectXMath Win32 Sample

ContentExporter

Samples Content Exporter Update

CoreDetection

Core Detection Sample (Win32)

D3D11InstallHelper

Direct3D 11 Install Helper (Win32)

FirewallInstallHelper

Windows Firewall Install Helper (Win32)

GameuxInstallHelper

Gameux Install Helper (Win32)

VideoMemory

DirectX Video Memory (Win32)

XInput

SimpleController
RumbleController

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

XAudio2BasicSound
XAudio2BasicStream
XAudio2Sound3D
XAudio2CustomAPO

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 sample
Audio stream effect sample

DirectXTK for Audio is also a sample of XAudio2 usage, and is demonstrated in the DirectX TK Simple Samples.

DirectInput

Customformat
FFConst
Joystick

DirectInput Samples (Win32)

Keyboard and Mouse samples are not included as use of DirectInput for these scenarios is not recommended.

DirectShow

A list of Windows 7.x SDK DirectShow samples is available on MSDN.

Vendor Samples

DepthOfField10.1
HDAO10.1
TransparencyAA10.1

ContactHardeningShadows11
DecalTessellation11
DetailTessellation11
PNTriangles11

AMD Radeon SDK

Retired Samples

Direct3D9

The Direct3D 9 samples require D3DX9, so these remain available only in the DirectX SDK.

DirectDraw

The DirectX SDK 8.1 was the last to contain the DirectDraw samples.

DirectMusic
DirectPlay

DirectX 9.0b (Summer 2003) was the last release of the DirectMusic or DirectPlay samples.

DirectSound

The DirectX SDK (November 2007) release was the last time the DirectSound samples were shipped.

Managed DirectX 1.1

The DirectX SDK (August 2006) release was the last time the C# samples for legacy Managed DirectX 1.1 were shipped

XACT

The DirectX SDK (June 2010) contains the last release of XACT and related samples.

Related: DXUT for Win32 Desktop Update, Living without D3DX