GruntvillE plays around with some Artic Siler Creamique paste. It's suppose
to be pretty good take a look at their results here.
The problem is that air does not conduct heat that well.
Even with the mirror finish on the bottom of most of todays modern heatsinks,
there will still be some air between the source (CPU, GPU, RAM, etc) and the
heatsink. This is where thermal grease, or more accurately, thermal compounds,
come into play. When you ask someone about thermal compounds, they'll all mention
a few names such as; Antec Reference Silver, Nanotherm XTC, and most often,
Arctic Silver 3.