We show that in an n-player m-action strategic form game, we can obtain an approximate equilibrium by sampling any mixed-action equilibrium a small number of times. We study three notions of equilibrium: Nash, correlated and coarse correlated. For each one of them we obtain upper and lower bounds on the asymptotic (where max(m, n) → ∞) worst-case number of samples required for the empirical frequency of the sampled action profiles to form an approximate equilibrium with probability close to one.These bounds imply that using a small number of samples we can test whether or not players are playing according to an approximate equilibrium, even in games where n and m are large. In addition, our results include a substantial improvement over the previously known upper bounds on the existence of a small-support approximate equilibrium in games with many players. For all three notions of equilibrium, we show the existence of approximate equilibrium with support size polylogarithmic in n and m, whereas the best previously known results were polynomial in n [8,6,7].