it depends on the density, the speed and, ultimately, by the heat produced and that has to be dissipated.
So the short answer is no, not all memories need a heat sink.
High performance memories typically do have one.
My suggestion though is that if you already have memory installed, check their specs and get equivalent ones. Actually, get the same models if you can.
They usually come already with heat sink if necessary.
Some cheap product have heat sinks ... taped togeter at the edges. This usually does not work well cause the heat melts the glue ...
I just bought OCZ from Newegg and I read some scary review on some other very cheap model. Of course, those are customer's reviews (i.e.: not experts), but I'd go safe: buy what you already have and works fine on your MOBO.