All the brand new CPUs I have bought come boxed with a stock CPU cooler.If the CPU is in the 230+ price bracket depending on what X4 phenom you purchase, you will expect a cooler provided.
If it doesn't say OEM, then yes, it will come with a heatsink and fan. Make sure you have good airflow in your computer, or you will get a little warm with all 4 cores under load
Don't know which Phenom II x4 your getting but here is a pic from PC World showing a 965 and its in a retail box...Which does come with the heat sink and fan and also has reapplied thermal paste on the heat sink.........http://www.pcworld.com/shopping/detail/prtprdid,752259340-sortby,retailer/pricing.htmlIf you were just getting the chip its called OEM.....You get nothing but the chip and it is a little cheaper to buy........Scott