Most AMD boxed CPU's I've bought come with a little white packet of thermal compound, but you want to be getting some better stuff anyway. It's only a few quid to buy some MX-4 or AS5 which are a good bit better than the stock stuff that comes with coolers.
As a retail package it should come with a thermal pad already on the heatsink. As acer noted its not the best of stuff, but you can use it if you want. If your staying with the stock heatsink you might as well use it.