No, with an exception. All games from Gamefly are the exact same you might buy from a gaming store. It comes with online, provided you own Xbox Live, PSN, or Wii online. Although, EA games have known to be a pain. EA requires you to buy a subscription with the game, if you did not buy the full game from a store. So if you decided to rent Dead Space 2, then you have must buy a subscription.
Dead Space 2 does come with a free two-day subscription for online.