With some skimmers they don't but I think most places try to include a pump that is known to work with the skimmer.

Here's an example: http://www.aquacave.com/reef-octopus-extreme-200-br-protein-skimmer-br-by-coralvue-2200.html

So far all my skimmers have come with the pump.

 

That skimmer comes with the pump, I have it. The pump isn't the most reliable though. Sometimes it won't start and I always have to take it apart then it will start again.

 

yeah they upgraded the pump on the skimmers with the new psk-1000 and psk-600 series depending on the size skimmer. it elimante's the start up issues.
the one tcamos shows is the older style pump just buy the newer style
this is the one i got should be here today and it does come with the pump.
http://www.marinedepot.com/Reef_Oct...Sump_Venturi_Needle_Wheel_Protein_Skimmers-Reef_Octopus-CV5173-FIPSISNW-vi.html

 

I would REALLY REALLY REALLY REALLY recommend getting the PSK-600 or 1000 options. While the 2500 performed well when they worked, but getting them to work is like getting congress to work... once in every 8-9 years does it actually do something good.

I had the PSK-2500 on my MSX-200 (same as the Octo, just a different sticker really) and I swapped it out for a bubble-blaster pump right quick.