Samples are digitized sound files. Some games need them, in addition to the ROM files, to provide the complete range of sound effects. For example, the sound routines of Donkey Kong Jr. are not yet fully emulated. If you play the game without samples, you will miss the "jumping" and "climbing" sounds.
It is the MAME team's goal to eventually do away with samples; however, at the moment many older games' audio circuitry is too complex to emulate accurately.
In Pleasuredome, the MAME samples are in the MAME EXTRAs torrent.
The sources for the MAME EXTRAs torrent are:
Other emulator that uses samples: