Current Intel stock fans normally come with thermal compound pre-applied. It's a thin layer of a grayish paste. However, if you ever remove the fan (even just to re-seat it), you must clean off the old compound from both the CPU and heatsink fan and apply fresh compound. Thus, buy/order a small tube of something like Arctic Silver 5 for future use.
I'm attempting to build my first video editing computer, and my ? is do I need to apply thermal paste to the i7 920 or does the stock fan come pre-applied?
They come with thermal paste on the intel Heatsink (which you get assuming you bought the retail version). That is good for stock speeds and perhaps a small OC, depending on other conditions.
Personally I would use a better paste arctic silver seems to be popular around here, I've started using Zalman STG1 on my last few builds and I love it, easy to apply and easy to remove even after years+ of use and of course it keeps things cool.
Of course if you apply your own thermal paste (which of course means removing the stock paste on the HSF) and plan to OC you should take a look at the lapping guide to take full advantage of what you have.