What kind of difference does separate thermal interface material make compared to that which comes supplied with the heatsink? Is it worth spending money on in any situation, or only for extreme overclocking? If so, which particular thermal pastes would you recommend?
Sometimes the thermal compound that comes with a cpu heatsink is very good and sometimes it isn't. try the stock thermal compound first. If results are not satisfactory, then try a third party compound. That's one of the fun things about building your pc. You can experiment to find out what works best for you.
The last time I looked there were over 80 brands of thermal compounds in a variety of categories. Just about all of the veterans have their own personal favorites. For example, I have had very good luck with IC 7 Carat Diamond while another veteran may swear by Arctic Silver MX3. If six veterans posted their preference I would not be surprised if each one preferred a different compound.
I absolutely, positively, 100% guarantee individual results will vary!