Depends on the model. For the professional grade machines they do. For the consumer-grade machines, I have no idea. However, I'm certain that if your hard drive failed under warranty that they'd send a recovery CD in addition to the hard drive. Getting that CD without a warranty, though, I'm not sure.

Many manufacturers have a utility for you to burn your own recovery CD set from the OS, which they suggest you do first thing. I suppose that saves them 8¢ a system.