You will need your own copies of the actual Infinity Engine games. Some sites where you can find them are:
You may be able to play some Total Conversion (TC) mods. Those require the original games as well, most commonly BG2.
To just try out GemRB, get the free BGII demo.
As of 0.7.3 GemRB will likely supports BG:EE as the game donor (only the new content, not any other new features it brings).