To make a long story short, the default fan with most CPUs is pretty crappy, and will do just good enough of a job to keep it kind of cool under normal-ish usage. It's also usually a small fan, so it has to spin really fast (making it loud) to keep up with higher-powered processors.
If you want to do really high-performance stuff, overclock, or just want your computer to be quiet, get an aftermarket. Like pretty much everyone in the thread had said, the Hyper 212 is cheap and pretty darn good. I use it on my Phenom II X6 (125W TDP) and it stays around 40C while torture testing.