depends... If you aren't into overclocking, then you will probably be just fine w/ the stock fan, since Intel usually has decent stock fans. Be sure that you buy a retail processor though if you want a stock fan w/ it.
on the other hand, if you want to overclock, or are just worried about heat, then buy a decent heatsink to fit your processor. If you do this, buy your processor OEM and save the money, since the only thing extra you get from retail is the stock fan, and maybe a warranty. If you are going to OC, your warranty is useless anyway.
a couple quick ideas: