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.
Joomla! 1.5 does not provide an upgrade path from earlier versions. Converting an older site to a Joomla! 1.5 site requires creation of a new empty site using Joomla! 1.5 and then populating the new site with the content from the old site. This migration of content is not a one-to-one process and involves conversions and modifications to the content dump. There are two ways to perform the migration:
No you don't. Versions of MySQL lower than 4.1 do not have built in UTF-8 support. However, Joomla! 1.5 has made provisions for backward compatibility and is able to use UTF-8 on older databases. Let the installer take care of all the settings and there is no need to make any changes to the database (charset, collation, or any other).