My cpu's have always come with thermal paste when part of a boxed retail version with cooler. It works well enough though it's always good to have some extra on hand just in case.
Most anything works well depending what's cheap at the time, arctic silver 5, arctic mx4, prolimatech pk1, masscool g751 shin-etsu. Even if your stock cooler comes with preapplied paste, if for some reason you have to remove the cooler or don't get it seated properly etc you'll want to clean it off and reapply fresh thermal compound.
If it's an oem version cpu where it comes as a chip only and no heatsink it won't have thermal paste with it. Most aftermarket coolers come with some sort of thermal paste as well.