Got my last chip free from AMD, and I bought my own HS/FAN, because the one AMD supplies, while adequate, doesn't suit my needs.
When I buy (AMD or Intel), I buy retail if I can use the heatsink and/or it is just a couple of extra bucks (retail less likely to be an overclocking reject chip some disreputable store is selling after pretesting it and selling the "good ones" for an obscene profit). Of course, if you buy from a reputable store like Newegg, you will most likely get a true random chip that has not been tested and rejected for overclocking anyway. Just be careful not to by a "random" or "regular" chip from a store that sells "guaranteed to overclock" chips if you go the OEM route. Likewise, if you are hoping for a certain stepping (i.e. you heard it overclocks well), don't buy a regular OEM chip from a store that charges a premium to be guaranteed that stepping, as you probably won't get it unless you pay extra for it. Pretty much common sense. 🙂
Nack