C1ay is correct. This will vary by institution and degree program. For example, if you were studying massless particles, you may have to submit data from an experiment you conducted. However, if you were studying the effects of mass media on society, you might need to submit a paper instead.
Check with the institution itself, then go further and chat with people from within the department you wish to enter (even if you just call or email them) to get a better feel for how to proceed.
Cheers.
