Yes they are included and generally work fine although I use an Arctic Freezer 7 Pro and it dropped my CPU temps 10-15 degrees C over the stock unit.
Zalman also seems to make poular CPU coolers and a lot of people swear by them but I've never tried one.
I would suggest assembling the stock unit, then download a temp monitering program like RealTemp. After that, download Prime95 or Orthos and run the small FFT test for ~15 minutes. It will put 100% load on both cores of the CPU. If the core temps exceed 60-65C then try to re-seat the fan/heatsink. If you can't get temps into this range, then consider an aftermarket cooler.
[EDIT] Note: The Prime95/Orthos test should be run with Intel Speedstep and C1E Halt State (and one other throttler that's escaping me... they are all together in the BIOS) disabled in the BIOS as they throttle back the FSB and finally the CPU voltage to avoid overheating the CPU cores.