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.
Ahh yes there is that, if you're using the stock heatsink then we're assuming you're not overclocking or working the machine too hard, so the default paste will be fine.
I can buy thermal paste at trade cost, so I always have a nice stock of MX-4 which is my fav - very good stuff.
Well the computer's not for me and I haven't built in some time, and I couldn't remember.
Thanks for the replies, my mom will be playing BC2, Bf2, and maybe Bf3 at 1024x768@60Hz