if your talking about cpu HSF yes.
But if your talking about the case fans no.
And some aftermarket HSF have already preapplied whereas some you have to apply it yourself.But around 90% should have there own paste.I havent seen one that hasnt supplied its own Paste.
Many aftermarket heatsinks/fans DO include thermalpaste however, it is usually poor quality compared to buying thermalpaste separately. If you are ordering a new HSF, add a tube of thermalpaste (decent paste, arctic silver, antec) and you will be set for several applications. Often, if you are putting a HSF on for the first time, you will make a mistake and if you use the single use stuff that comes with the HSF (many come with a small packet opposed to a tube) you will be out of luck until new paste arrives. If you buy a small tube, you will be good for 4+ applications.