It comes with a heatsink and fan with thermal paste already applied.
Depending on how much you want to push your processor, I would recommend finding a better heatsink since the one included is merely 'adequate' for normal uses. Mine has pretty high temps with even small overclocking with the stock cooler.
Mr. Torres, it comes with all those. Thermal grease is almost always applied to CPU heatsinks these days. However, if you're technically inclined, I highly recommend getting a third-party grease like Arctic Silver 5. Only in the case when a processor is named as an OEM part or CPU Only will it be just that and nothing else. Should you replace your stock HSF unit for an aftermarket one, I recommend the Hyper 212 Plus. It's an exquisite HSF that works very well.