Have you looked under the stat\sample subdirectory of the SAS installation directory? My guess is that you will find them all in there. On my system, the directory path to the sample programs is:
I found the data for example 2 of the MCMC procedure in there. I didn't look for data for any other examples from the MCMC or GENMOD documentation. I'll leave that to you.
ANOVA, or Analysis Of Variance, is used to compare the averages or means of two or more populations to better understand how they differ. Watch this tutorial for more.