The best and only way to get a processor with a matching heatsink & fan combo is to buy it retail boxed. That's also the only way to get a decent warranty on a processor. Stay away from OEM processors unless you know exactly what you're doing.
My favorite online vendor (and the fav of many here on the forums) is Newegg. They have very good prices, a wide selection, and their customer service is among the best. There are other places online, too, but make sure you check each vendor on Reseller Ratings before you hand over any money.
I like Newegg because it's a one-stop-shop - everything you need to build an entire computer, and that helps to keep shipping costs down.