.Other than REX Loops (which you play in the DR:Rex Loop Player), Akai Samples (for which you'll need Reload) the short answer is this: you can import Soundfonts, as well as any of the major formats that other sequencers will export.
Namely, AIFF or WAV.
To get them into Reason you need to use the NN-XT Sampler (or the NN-19) by clicking the Load Sample button at the top left of the Remote Editor (the Remote Editor is the part of the NN-XT you get by clicking the little arrow on its bottom left.) The samples are usually mapped, at the correct pitch, to middle C (C3) of your keyboard.
If you're after something different, you can also load samples into the ReDrum. To do this simply click on the little folder icon at the top of one of its columns, let's say #1, then navigate to where your sample is and load it up. You then use the ReDrum as normal (which can make for some interesting results if your sample isn't percussion!)
Once your samples are imported, you can then add FX to them or otherwise manipulate them.
