In general, they don't.
If you want to buy very large amounts of chips, you could have them preprogrammed by the manufacturer, but that's expensive, as far as I know.
The other options would be to find someone who will sell you chips with bootloader installed.
With the popularity of Arduino platform, it's common to find AVR chips with Arduino bootloader installed. Some can for example be obtained from Sparkfun. Some companies also sell AVR chips with their own bootloaders.
If you can't obtain such a chip, the other option is to obtain a programmer. You could buy the official programmer which is AVRISP mkII or make one yourself. There are numerous guides on the Internet on how to make such a programmer and many of them are very simple and work with PC serial ports. This one worked nice for me, but if used with an USB to serial cable, it can be very slow.
Arduino can be used to program AVR chips, so a cheap option could be to obtain one of the microcontrollers with Arduino firmware and then use it as a programmer. There's a guide on how to do that here.
Another option for AVR development that seems popular is the AVR Dragon development board. It is worth noting that in general AVR programmers can't do debugging, that the debuggers are either old (and don't work with new chips) or expensive. The Dragon can be used to debug newer AVR chips too so that makes it an interesting product.