Well you are reading it right now! This depends on what you want to achieve. If you are new to Joomla and have no clue how it all fits together, just install the sample data. If you don't like the English sample data because you - for instance - speak Chinese, then leave it out.

When installing a Joomla website template provided by a template design houses like Joomlart or Rocketheme, however, you would save yourself a lot of time and effort by using theri kickstart.php packages (the titles vary from provider to provider, so pay attention).

Using these "installation" packages allow you to import all styles and modules for a given template, so that if you want to keep them, you won't have to manually add them to the template CSS one by one.