The default one is forest.exr. as Martin points out you can click on the sphere icon in the dropdown to change it to one of the other ones that comes with blender. After you click that large sphere you can get the names of each one thru the tool tip which pops up after you have your mouse cursor over it for a few seconds. Also you can go to preference->Lights and install your own HDRIs to use with material preview. Another thing is in render view you can you can click the dropdown and uncheck world and then you will have the same options as the material preview. This can be helpful if you’re using cycles and you want to see what the HDRI looks like in cycles. Note: Material preview uses a truncated version of eevee.
