Update: Please refer this blog post for the updated instructions Download and Install Adventure Works 2014 Sample Databases.
You can download either of the data files and create a database using the same. Here is the script which demonstrates how to create sample database in SQL Server 2012.
Watch a quick video on the same subject.
Every new version of SQL Server should have its own Adventure Works database. The reason is that SQL Server comes up with new features with every version and most of the new features need a new dataset sample to demonstrate the capabilities of the features. This is the why every version of SQL Server has its own AdventureWorks database. SQL Server 2014 has many new features and to support that Microsoft has released new AdventureWorks 2014 Sample Database.
Please note that in SQL Server 2016 the same sample database is replaced by WideWorldImporters. You can read about that over here: Download and Install Sample Database WideWorldImporters
This database is a replacement of old sample database called AdventureWorks (Engine version) and AdventureWorksDW (Data Warehouse version).
Reference: Pinal Dave (https://blog.sqlauthority.com)