As H2H says, they come with the CPU.
If it's a retail Intel processor you buy then it will come with the heatsink.
If you buy and OEM chip (one that comes in a static bag, no retail packaging, no fan or heatsink) then you ned a heatsink fan. Usually when you buy OEM they give you one suitable for it.
Coolermasters are good fans, Globalwin etc. When you buy the chip get a retail one, they are usually no more $$ and often less, strangly enough. The Intel chips are pretty forgiving when it comes to H/S and Fans. If it were a thunderbird or duron I'd be more specific on fan choices - Burn baby burn. They run hot.
The PIV heatsinks and chips are like something out of Alice In Wonderland. Teeny little chip, size of a guitar pick and a heat sink the size of a pack of cigarettes(a Canadian pack)...
I don't know why everything has to be so damn small. I guess for notebooks but really.
Make the chip the size of a football and the case the size of a small refrigerator, If I could get 50GHz out of it I wouldn't complain.
Anyway.