I haven’t tried it, but in theory you should be able to go to System -> Package Management and uninstall the sample site (and any other components you’ve installed). Be sure the clear the cache and your browser cache and cookies after you’re done uninstalling things.
If things don’t look clean after the uninstall, try this one. Empty the cache and then go into PhpMyAdmin and drop all the tables in the MODx db. Then re-run setup.
If you want to be absolutely sure you have a clean install, drop all the tables in the DB, delete all files and directories, reupload, and re-run setup. I don’t think you’ll need to go that far (though that’s probably what I would do in the first place just to be absulutely sure the install is clean and fresh -- it’s one less thing to wonder about when something isn’t working right later).