To fetch the data required to run all the applications / examples / tests you will need to download the shogun-data package (due to its size) available separately. In case you use git - we maintain shogun-data as a git submodule. It is therefore sufficient to call
git submodule update --init
from the shogun/ git directory to fetch all the data sets and later on to run
git submodule update .
In case you are using a pre-packaged version of shogun you will need to manually download the latest data sets from
ftp://shogun-toolbox.org/shogun/data/