Almost all heatsinks bought retail come with thermal compound of some sort. People buy Arctic Silver 5 because apparently it cools the CPU by an extra 2 - 10 degrees celsius.
I am going to test this soon, I am going to install my Jet-7 heatsink using the thermal compound shipped with my Jet-7 and let it burn in properly, then check the temperature. I will then remove it using Vodka (my preferred choice) then install heatsink using Arctic Silver 5 to check the difference.
I bought my heatsinks from the UK so where I got them from won't help you