Yes, they do. "Body only" means as opposed to in a kit with a lens. You should actually get a battery, matching charger (except in the now-rare case of cameras which use AA cells), an instruction manual and probably a CD with software, maybe some random cables, and various other little bits and pieces like a viewfinder cover. In fact, the manual will probably have a page listing what all is included.
The link you've given isn't "body only". It looks like the standard "kit", which includes all that plus a basic entry-level zoom lens. The "non-kit" version sold as "body only" still will have all of the basics listed above, though.
The main vital bit that you'll need to buy immediately is a memory card — these are pretty much never included.
Beware, though, of unscrupulous too-good-to-be-true online vendors. One favorite trick is to open the box and take all that stuff out, and then sell it separately at outrageous markup. Or sell cheaper third-party replacements at even more outrageous markup. No reputable licensed dealer will do that. If someone starts to imply that this is the way it is, cancel the transaction and buy from somewhere else.