When building a gaming PC, keeping your processor cool will keep you from baking your processor and turning that $1,000 PC into nothing more than an elaborate end table. While the stock cooler that comes with some CPUs is fine and all, an aftermarket CPU cooler will run quieter, keep your CPU a bit more chilly and thus allow for overclocking, and can also add a bit of flair to the interior of your rig as well.
Given all these benefits along with reasonable prices, you really can’t afford to not run one of these coolers.