SOme form of thermal paste is required when installing a new CPU usually stock cooler will have some already on the bottom most aftermarket cooler will include some basic usually the cheapest stuff offer by the hsf manufacture I would recommed artic cooloing mx-2 it's given me the best results personally
a thermal paste is require to ensure that the heatsink has good contact with the CPU they are designed for high thermal connductivity and low thermal resistance to help move heat from the CPU to the air