I think the only reason to go for a Zalman would be if the stock one is too noisy or if the temps end up being too high. Probably don't need to buy the Zalman first and might as well wait to see how the stock one perfroms.
With that said, I have a Zalman 7000a-AlCu on my AXP 1800+ (broke the stock HS during build and used a TT Volcano 6+ Cu).
The Zalman keeps the CPU about 5C above the case temps during typical use (browsing web, MS Office, etc). Don't really know how hot the temps go when gaming. My TT was running about 10+ C over case temps and was crazy loud, so for me the Zalman has made a huge difference. I will be using it on future PC builds.
-D'oh!