If you buy them "Retail", they will come with everything (CPU, Heatsink + fan, instructions). The thermal pad is included too, but it's hiding underneath the heatsink.
Nope.. OEM products are without retail packaging. In this instance your OEM Chip would probally turn up wrapped in a bit if bubble wrap inside a carboard box and thats ya lot. Retail is exactly that and tbh if your not planning major overclocking and whatnot it usually makes financial and simplistic sense to buy a Retail pack.