i have an amd phenom II x4 955be and the other day i was unistalling my cpu cooler to install a new one and i had to kinda pull hard to get the cpu cooler off and boom, out comes the cpu stuck to the bottom of the cooler. This has happened to me twice now and i am afraid my cpu or motherboard will eventually become ruined.
You can break pins, break the mechanism that locks the pins in place (controlled by the little gray level on the side), damage the socket, or damage the leads around the socket. If you only do it once, it usually won't break anything, but multiple times is just asking for it. Anyway, you can use a blow dryer to heat up the heat sink a little. I also try to slide it in one direction or another rather first than pulling straight up. If the compound is applied properly it can be like a vacuum seal.