Personally, I would _NEVER_ pay for an operating system unless the installation media is included. If the whole package is a bargain I might settle with one of those recovery CDs - but what happens if you install new hardware and Windows asks you to "insert the Windows CD into your CD-ROM drive" to copy some DLLs not installed by default?
With Windows being as unstable as it is (viruses, trojans, spyware, registry breakdowns etc.) you shouldn't have to be without some way to reinstall your system.
Of course, the hard drive will come prepartitioned - probably as one huge C:\ - and if something blows up and you have to use the "repair" CD it will most likely wipe out all the contents of your drive.
By the way - if I own a Windows XP license but have no installation media, would it be illegal to use a home burned XP CD with my license key?