Calligraphic E (not \mathcal)

Try doing:

\documentclass[12pt]{article}
\usepackage{mathrsfs}
\pagestyle{empty}
\DeclareMathAlphabet{\mathpzc}{OT1}{pzc}{m}{it}
\begin{document}
  The sample space is $\mathpzc{E}$.
\end{document}

See The Comprehensive LaTeX Symbol, page 68 for a pretty complete list of math fonts available and how to get to typeset them.

You can also check A comprehensive review of mathematics in (La)TeX, page 95 onwards.

There's also The LaTeX Font Catalogue - Calligraphic and Handwritten Fonts.

You can try rsfs: The code

\documentclass[12pt]{article}
\usepackage{mathrsfs}
\pagestyle{empty}
\begin{document}

The sample space is $\mathscr E$.
\end{document}

produces