The wattage rating of a CPU is simply the max wattage it will hit at stock speed under load, there are some AMD CPUs listed as 125W CPUs that only come in at 100W, but since they were over the threshhold they got moved up to the next power bracket but will still only pull 100W.
If you had a processor that pulled 95W and another that pulled 135W, it would be pretty much a 40W difference, the power regulation circuits on the board are pretty efficient, you might end up pulling 43W instead of 40W but it will be close.
All of the power a component uses gets turned into heat, so a 125W CPU generates up to 125W of heat under full load, a 95W CPU generates up to 95W of heat, when you OC a CPU it draws more power and generates more heat, thus the need for aftermarket cooling.
If you are buying a stock CPU and not an OEM one, the cooler that comes with it will handle it at stock settings just fine.
Thanks for clearing that up for me.