Some do, and some don't. Most seeds you can sow right away if you want (many need a cold period before germination, but you can still sow them), but a few, like many penstemons and cacti, do require about a year of storage before sowing for the most effective germination. If you can get your hands on the Norman Deno germination book (some libraries may have a copy), it will tell you which are which for lots of species. Oh, yes, and many species actually require immediate sowing (most anemones, corydalises, etc.), as they have very short shelf-lives.

Thanks, Magus!