Temporal networks have been increasingly used to model a diversity of systems that evolve in time; for example, human contact structures over which dynamic processes such as epidemics take place. A fundamental aspect of real-life networks is that they are sampled within temporal and spatial frames. Furthermore, one might wish to subsample networks to reduce their size for better visualization or to perform computationally intensive simulations. The sampling method may affect the network structure and thus caution is necessary to generalize results based on samples. In this paper, we study four sampling strategies applied to a variety of real-life temporal networks. We quantify the biases generated by each sampling strategy on a number of relevant statistics such as link activity, temporal paths and epidemic spread. We find that some biases are common in a variety of networks and statistics, but one strategy, uniform sampling of nodes, shows improved performance in most scenarios. Given the particularities of temporal network data and the variety of network structures, we recommend that the choice of sampling methods be problem oriented to minimize the potential biases for the specific research questions on hand. Our results help researchers to better design network data collection protocols and to understand the limitations of sampled temporal network data.