If you are buying a "normal" home and happen to be using Fannie Mae as the lender, the answer is no.
If you are buying a Fannie Mae owned home and are financing through their HomePath program, the answer is sometimes. They have come and gone in the market with incentive programs where they will help with closing costs. Right now, as Rocky indicates, it is a case-by-case basis negotiated as part of the contract.
One could argue they do indirectly, as they allow for no appraisal (though I am not sure I would want to buy a home without an appraisal--nothing says because it is Fannie Mae owned you are guaranteed to get a good value) and they allow for no mortgage insurance even if yuou finance less than 20%, so those are cost-saving moves.
Good Luck. Bill.