Well, if you are not overclocking, and have reasonably good airflow in the case then it's not mandatory to replace the stock cooler. After all, it's designed by Intel to do the job. But a better cooler is a nice idea, especially for heavy multi-thread apps use - if just to ensure that performance is not reduced due to processor hitting it's temp limits and "throttling down" for (very) brief periods. A nice aftermarket cooler can also reduce the noise (from the fan).
So, getting a (decent) new cooler: well it can't do any harm to have one, and can only have benefits. Just a question of whether the cost/advantage trade off is worth it for each individual situation.
P.S. Having said all that, I have the Scythe Mugen2 B thing. It's very nice, and way way quieter than the intel one.