Atmel chip come with bootloader?
Some do. 

From personal experience, I can tell you the ATMEGA32U4 has a USB Bootloader from the factory. 

Personal experience aside, this list from ATMEL is more complete.

You can use whatever you want to actually compile the code into a hex file. (ie AVR Studio).You will then need to use ATMEL's FLIP uploader to program your chip. 

Fresh from the factory, the chip will be in "programming mode", ready to accept your file.
If you want to change the program after initial programming, you can put the chip back into "programming mode" by grounding the HWB pin and toggling the RESET pin. 

In your circuit, the HWB should be "pulled up" via a resistor to VCC. That way, the pin is not left floating and you will not put the chip into programming mode accidentally.