At least for Intel® processors like an Intel Core™ i5-2500K the box/retail comes packaged with a HSF (heatsink/fan) and a 3 year warranty. While the OEM has only a 1 year warranty and doesnt come with a HSF.
It's rare for a CPU to malfunction, but it does occur. I never use the stock heatsink, but I generally buy a retail CPU for the 3 year warranty just for peace of mind. I tend to keep CPUs for more than 3 years before upgrading.