Some aftermarket coolers come with thermal paste pre-applied, some others (like NH-D14, NH-D15) come with a tube of thermal paste that you have to apply, and some others don't come with any thermal paste. All depends on what aftermarket cooler you buy. Some of the aftermarket coolers come with very good thermal compound in their own right. When I Installed the NH-D15S in my rig I used the included thermal paste from Noctua as it was very good thermal paste (the equal of the MX-4 I usually use for customer builds).