recently read an article comparing various heatsink compounds on Dan's Data

http://www.dansdata.com/

Interesting review. His tests did show a difference between the cheap versus high end compounds, but not that much... not near what you should be seeing for what we pay for the high end stuff. Use a good compound, don't use to much of it, and perhaps polish the base of the heat sink until its mirror smooth. And then use the money you saved by not paying for the most expensive heatsink compound and buy a bottle of decent wine.

Here's a link to the article:

http://www.dansdata.com/goop.htm