I bought two identical 5850s - one came with cables, one didn't.

Most newer PSUs have either adapters or existing molex for video cards.  Depending on the PSU, they generally have at least one if not two.  If your PSU says "CrossFire/SLI" on the box, you definitely should have at least 2.

That being said, go check your PSU to see how many 6 pin power cables you have and find somewhere to buy these guys in case you find yourself shorted.