Power supplies will come with all of your power cables to connect to all your parts, but you don't get any data cables with them. You don't get any cables with hard drives.
You should get SATA cables with your motherboard, but if for some reason you don't have any, you can always buy them separately.
I have gotten a few PSUs that do not come with the cord that plugs into the outlet, but most include one, they all come with the SATA and Molex power cords
As for HDDs most are the OEM version and include only the drive, if you buy a retail box version it should have a SATA data cable, the motherboard usually includes 2 to 4 SATA cables, if you are buying a new HDD I would suggest ordering an extra SATA cable just to be sure, nothing sucks more than getting new hardware are finding out you need a new cable
lot of green power supplys dont come with cables just read reviews before you buy to find out.