The paste that comes preapplied isn't bad. If you're trying to squeeze out every ounce of speed in your overclock, then you might want to look at 3rd party paste.
For more than you probably ever wanted to know about thermal paste, but should know.
http://www.tomshardware.com/reviews/thermal-paste-heat-sink-heat-spreader,3600.html
http://www.tomshardware.com/reviews/thermal-paste-performance-benchmark,3616.html