The CPU if a boxed version will come with a thermal pad already attached to the bottom of the heatsink that will work fine for stock cooling so no need to buy any. IF you buy an OEM version and aftermarket heatsink then most of them will also include a small amount of thermal compound of some sort with the heatsink so same goes for that scenario.
But if you remove the heatsink after applying then you will need to get some -as for what brand\type I'll let someone with more knowledge of them answer that part.
If it doesn't come with a cooler you better get one and have quality Tpaste, and have a friggin clue how to appy it. It's not rocket science but it's more complicated than kicking a rock down the street.
As Jdfan said, your outta the box heatsink 'should' come with a pre-fixed pad already on it, if you can see metal on the bottom of the heatsink, you NEED Tpaste, if you try to mount it and use the rig without it, your first online purchase will be another new processor watch this for amd without heatsink results, and if you dont have Tpaste, in effect you dont have a heatsink.
I have a Phenom II x4 965. Online guy, the Phenom II's all come with PRE-APPLIED THERMAL PASTE on the BOTTOM of the STOCK AMD heatsink.
If your not going to overclock, you can keep the stock heatsink and you will be fine.
If you want to overclock, most would recommend ditching the stock heatsink for an aftermarket heatsink. Then, you would most likely have to buy your own thermal compound, even though some do come with a packet.
But in generally, yes, you must always have thermal compound between your HEATSINK (whether stock or aftermarket) and your CPU metal plate. If you don't you will damage your CPU with the heat in a very short amount of time. You probably already knew that, I think you were just asking whether or not the AMD Heatsink with the Phenom II x4 955 had thermal compound on it already or not.