According to a post over at VR-Zone, it appears that Intel won't ship its stock cooler with Sandy Bridge-E but rather sell them seperately. This sounds like a good idea, especially for an enthusiast part such as Sandy Bridge-E, as most users will simply go for third-party cooling solution.
The upcoming Intel Core i7-3960X Extreme Edition, Core i7-3930K and Core i7-3820 will not be shipping as now already standard "boxed" model that features a stock cooler, but rather as a tray with optional stock cooler that will be sold seperately. This could somewhat lower the price of these models but also give more room to enthusiasts as they won't end up with an unused stock cooler as they often go for more hefty third-party coolers as well as some water-cooling systems.
There has been quite a few benches of Sandy Bridge-E engineering samples and although they are rated at 130W TDP they have quite some room for additional overclocking that will of course raise the TDP even higher.
Of course, we expect most, if not all, companies to come up with their own LGA2011 solutions once these CPUs launch.