You can buy a new cpu with or without a heatsink and fan. If you're going to overclock and even if you're not going to overclock for that matter you otta get an after market heatsink and/or fan to cool that Prescott core, they get extremely hot.
retail = comes with a heatsink and fan
OEM = just a processor, and a processor alone.. and yes, that means you will have to buy them seperately.
if you're overclocking you'll want to buy one seperately anyways though. http://www.arcticsilver.com/