Excluding our own, which bodies have we directly (or indirectly) gathered samples from? I'm aware of these:
Moon: moon rocks from Apollo
Mars: Martian meteorites found on Earth
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There have been several sample return missions:
2 more asteroid sample return missions are currently active: Hayabusa 2 was launched in 2014, Osiris-REX is being built.
Plans for more missions exist, including sample return from Mars moon Phobos and from Mars itself.
In addition to Mars, we've identified samples from Vesta in the form of HED meteorites. The Angrites group of meteorites are possibly from Asteroids 289 Nenetta or 3819 Robinson, or Mercury.