For most of what we do, the cheap white silicone based stuff is sufficient.
For things that really get hot or that I am more concerned about overheating (like the LEDs in the aether), I use some stuff that I had left over from a CPU installation that is a little better.
There is a lot of hype in the heat sink compound market for computer CPUs, but the type used rarely makes more than a few degrees difference in actual performance tests.