Discretization of continuous-time diffusion processes, using gradient and Hessian information, is a popular technique for sampling. For example, the Euler-Maruyama discretization of the Langevin diffusion process, called as Langevin Monte Carlo (LMC), is a canonical algorithm for sampling from strongly log-concave densities. In this work, we make several theoretical contributions to the literature on such sampling techniques. Specifically, we first provide a Randomized Coordinate-wise LMC algorithm suitable for large-scale sampling problems and provide a theoretical analysis. We next consider the case of zeroth-order or black-box sampling where one only obtains evaluates of the density. Based on Gaussian Stein's identities we then estimate the gradient and Hessian information and leverage it in the context of black-box sampling. We then provide a theoretical analysis of gradient and Hessian based discretizations of Langevin and kinetic Langevin diffusion processes for sampling, quantifying the non-asymptotic accuracy. We also consider high-dimensional black-box sampling under the assumption that the density depends only on a small subset of the entire coordinates. We propose a variable selection technique based on zeroth-order gradient estimates and establish its theoretical guarantees. Our theoretical contributions extend the practical applicability of sampling algorithms to the large-scale, black-box and high-dimensional settings.