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.