Visit the Propellerhead refill page or go to sites like Reasonrefills.com or Reasonfreaks.com. These sites either sell, or contain links to sample refill packs. Some are paid-for while others are available to download for free.
Browse the refill sample packs for the type of sounds you are looking for. Most will be tagged by genre and you may be able to listen to short sound clips.
Download the packs you want and save them to your Reason folder.
Open Reason 4 and load the instrument associated with the refill pack you downloaded. Most samples will play in the NN19 or NN-XT samplers.