SFZ format files can be built by you. Take any .wav sample file(s) and create a text file and save as .sfz with notepad editor. Then you can play it with any synth that supports SFZ format, such as Dim Pro, or the free sforzando player by Plogue.
There are countless online sources to obtain sample collections for free, or paid. Try Google for that.
Everything you need to know about SFZ can be found here, including a couple tutorial videos, and a link to online resources, including 'the sfz format' an explanation of the format by the original developer.
http://www.sfzformat.com/index.php?title=Main_Page