I have the EWI USB. As mentioned by Meaningful Username, it doesn't have any in-board sounds, so I can't play it stand-alone -- it has to be plugged in to a computer. While it does come with its own softsynth program (based on Garritan's Aria Player), and a decent set of samples, it can also be used as a generic MIDI controller, which is what I usually do. I use it with my DAW (Reaper), which hosts SFZ (a VST soundfont player), and whatever free soundfonts I've happened to find online. I don't know if the ones with in-board synths can be directly reprogrammed (I'd guess not), but I'd be shocked if they couldn't also operate with a computer as above.
When I do play it like that, to control soundfonts, I have to program Reaper to interpret the MIDI signals in a way that makes more sense. For instance, I completely turn off the "Velocity" response, and route the breath signal to control the Expression CC. This allows my to play a note that starts out quietly, and slowly swells in volume. With the velocity response turned on, it would start out with a softer overall volume, and would be unable to swell to full volume. I could probably also set this up in the EWI software directly, but I have a template track set up in Reaper that does it all for me.
One extra thing to note about the playing technique -- and it took me a long time to realize this -- you don't close your mouth all the way around the breath sensor when playing. It lets very little air through, so if you try this for very long, you will end up needing to take a breath while your lungs are still full, which feels a bit like suffocating. Instead, the recommended technique is to "leak" air out the corner of your mouth while playing, in a controlled fashion. Coming from a woodwind background, it feels weird to do it the first couple times, but you get used to it. The sensor is based off of breath pressure, not velocity, so the air doesn't have to be moving very fast. You just time your "leak" rate so that your lungs are sufficiently empty by the time you need to breathe.
One final note: I'm so used to controlling expression via breath, that I've also bought a breath controller for my MIDI keyboard. Yamaha used to make these, but discontinued them for some reason. But there is now a new product being made in Europe. Now I can play my keyboard like a MIDI melodica!