The only cable that comes with an iMac is the USB-C to Lightning cable that is used to charge the keyboard and mouse.
External drives normally come with their own cable.
An external drive that is Thunderbolt capable is likely to be more expensive than one that isn't. Which to get depends on whether or not you need the Thunderbolt speed and are willing to pay for it. For backups, USB 3 speeds are more than adequate for most people.
Two examples available on the Apple Store:
LaCie 1TB Rugged USB-C Portable Hard Drive - Apple
the above includes a USB-C (USB 3.1 5 Gbps) cable
and LaCie 1TB Rugged SSD Pro External Drive with Thunderbolt 3 - Apple
includes a Thunderbolt 3 cable (6 in./15.24 cm)