First thing I'll mention: that cheap plastic thing mentioned in the first few posts is known loosely as a fan shroud. Is does nothing but direct the flow of air coming from the fan to make the weak piece of crap that is the Intel stock cooler that tiny bit more efficient. What it doesn't do is help the fan itself find the air in the first place so that it can blow it out again. It relies on (I think it was called) negative static air pressure, meaning that when it blows the air out, it creates a low air pressure that sucks air from the rest of the case. Not the most efficient system therefore the heatsink itself becomes somewhat suffocated and only works half as well (or badly) as normal.
Most motherboards I've seen so far put the CPU warning temperature between 85C and 95C. This is the point where it feels the CPU is suffering so it either throttles it, or shuts down completely. Some motherboards even let you choose either or both and at what temperatures it happens at.
For pre-applied thermal paste, it's designed to be applied once, and correctly the first time. When it makes contact with the CPU, it's supposed to spread and eliminate any gaps to make a (theoretically) perfect contact. However, if you
ever take it off, that perfect contact will be ruined. The spread will become uneven (possibly not even touching at some points) and, most importantly, air pockets will form. These air pockets trap heat and only make your CPU get hotter and hotter over time. Btw, ideally thermal paste should be a single, thin layer between contacts. The more of the junk there is, the more chance for air pockets and most importantly, the less efficient it is in transferring heat.
If you're going to buy a HSF with pre-applied thermal paste, first know that it's not the best compound in the world, but it'll do the job. Second know that you only get 1 shot in getting it on right, for the above reasons. If at any point you need to remove it again, you'll need a thermal paste removal solution to clean the contacts before you try applying another layer of thermal paste. I like the Zalman thermal paste because it comes with a lil brush for a thin and perfectly even application.
EDIT: Link for info on thermal paste:
http://en.wikipedia.org/wiki/Thermal_paste...ng_and_removing
Not that it matters, but the linked Xiggy HSF really isn't "one of the best", but it's not bad either. Certainly much better than Intel's stock fan anyway, with the advantage that even though it's big, it's thin (probably to make space for the fans). For a long time, the Arctic Freezer 7 Pro was the most popular SKT775 HSF because it was cheap, relatively small, very easy to attach and worked surprisingly well. These days there are better alternatives for triple the price, but they require looking around for. I use a Sythe Kama Angle in mine, which is large and L shaped, but can fit 3 fans on it (I only use one because my case has a 200mm roof fan and 2x120mm exhaust fans, but the design is supposed to be used for systems that have less fans, if any).