IT depends some come with compound some don't , if you have to buy some , Antec 5 silver is good. All though most people fine that the stock cooler is not good enough and they go aftermarket.For a better cooler , If you do any overclocking it's almost a must to get a better cooler , Coursair has come out with some nice H2O coolers IE the H-50 or the H-70. I have both and they work like a charm.
All CPU coolers supplied by Intel that I have seen have thermal compound pre-applied to them, so the short answer is no, you do not need to use more.
It is easy to determine if any compound has been pre-applied, just check the bottom of the stock Intel 'cooler, and in the middle you should see some gray material, usually a few strips or lines a few mm wide. If all you see on the bottom is bare metal, then you need to apply compound. If compound was not pre-applied, then some should be provided separately in a small tube or packet, but Intel has not done things that way AFAIK. Most if not all after-market CPU coolers provide thermal compound, usually in a tube or packet.
The method of application of thermal compound (when not pre-applied) is a controversial topic that has been discussed endlessly in forums, etc, by enthusiasts. Not to mention which compound is "best", yet another topic. Some enthusiast will tell you to remove the pre-applied compound and use another, which is fine if you are up to doing that, but that is certainly not essential.
The use of thermal compound for an i7 or any CPU is required if the 'cooler is to function correctly. So, if compound has not been pre-applied, some must be used when the cooler is installed.
Hello; The thermal interface material comes already pre-applied on the bottom of the heat sink that comes with your processor You can find information in how to apply the thermal interface material here: http://www.intel.com/support/processors/sb/CS-030329.htm http://www.intel.com/support/processors/sb/CS-030609.htm Please be aware that using a third party cooling solution on your processor may void the warranty, for more information check here: http://cache-www.intel.com/cd/00/00/05/03/50372_50372.pdf