Where can I find example databases for MySQL, SQL Server and Oracle? I want to experiment with the 3 large database management systems.
For this purpose it would be cool to have the same database (the same tables, etc.) for each of those.

Where can I find sql scripts which create identical test databases for MySQL, MSSQL and Oracle?
Oracle provides several sample schema, but as with Rolando's answer, you would have to convert these for the other databases. 

My answer in a nutshell is Don't use identical scripts.

The problem with using scripts that are as similar as possible for each database is that you will be using least common denominator functionality.  Using a database requires an investment in infrastructure, installation, support and development that will not reach it's full potential if the advantages of each platform are not utilized.

To truly do a comparison of these platforms, I suggest you determine what your requirements are and then implement those requirements in the best way possible for each database.  This will of course require significantly more knowledge of the platforms, but any other comparison would only be academic.

Here are two examples.  

Requirement: Show all days in a given date range with sales data for the day regardless of whether any sales were made that day or not.
Solutions: In Oracle you might do a cross join with a hierarchical query on dual returning all the days in the range.  In SQL-Server you might use a CTE to generate the days.  In MySQL you might use something else entirely.1

Requirement: Be able to run a query at any time to retrieve the data for any table as it existed at any point in time within the last four hours.
Solution: In Oracle you would only need to ensure that the undo retention was guaranteed and set to at least four hours.  In other databases the implementation would be dramatically different.2