Toshiba
Toshiba do - I bought one this side of Xmas which came with Win MCE2005 on CD.
I think most manufacturers are just saving the money required to supply the CDs (CD, labels, case = lots of money - NOT!!!)
Most PCs these days are produced on a rail - One the gubbins is in the case, plug it in and squirt an OS/software onto the HDD. Unplug, plug in the next one & squirt again - rapid production line, with no costs
I think its the cheaper end of the market who won't supply CDs or charge you for it if you ask for them - PC World, Median, etc