Mobo combos AKA "barebones systems" usually come with the motherboard, CPU, HSF and sometimes memory. At some stores like PCBoost.com (not an advertisement; I've purchased two Barebones rigs from them) they also include one case fan.
The parts are not put together for you. They take a big box, grab "one of these and one of these and one of these, etc" throw it in a box and ship it to you for assembly. As Desmoquattro said, some places will assemble and test it for you for a fee. While this is kind of a good idea, it defeats the purpose of building it yourself. It does lower the risk of something going wrong, but that's half the fun! You must learn the ways of the Force, young Skywalker....