It really depends on you and what type of results you are looking for in a massager. Heat has many benefits but it isn't always necessary.
The percussion or vibration therapy of many handheldÂ body massagersÂ works very similarly to a deep tissue massage. The same type of massage you would get from a masseuse may not include heat as part of the process but they are still very effective.
If you are looking to a personal back massager to help with a specific condition, such as lower back pain or a sports injury, it would be best to ask your physician or physical therapist. They may recommend heat or tell you it isn't necessary.
For stress relief, heat is a popular feature as it can be very relaxing.