Not directly. However most will come with an application that allows easy interface with OCR software. For example I currently use a LiveScribe pen. It doesn't come with OCR software but it has the ability to use 2 or 3 different software packages.
However I should note that I haven't found the need or use for OCR software. If it's something that needs to come out in a document I'll type it out anyway since I type much faster than I write. I only use a pen when I need to make drawings or figures.
Windows vista/7/8 come with windows journal that can. Sometimes it isn't installed by default so you have to enable tablet pc components in features. There are also plenty of free third party software. But it is pretty difficult to write with a mouse.
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