Most thermal epoxies come in a two part setup that includes a resin and curing agent. To get proper coverage it is important to apply the adhesive while it is still in a liquid state. Look here for specific directions on applying Arctic Silver Thermal Adhesive . Thermal pads are not as messy as thermal compounds, but the performance of thermal pads is less than pastes. Thermal tape is very handy for mounting small heatsinks to video cards or chipsets instead of using epoxy.
All thermal pastes have good performance when applied properly.
If you feel the need to go 'high end' then use a metallic based paste like silver or aluminum. If you just want a paste that is inexpensive and works well, use silicone or zinc oxide based pastes. Most importantly, do not ever use a heatsink without some type of thermal interface. Select the interface that is best for your situation and apply it as instructed above. The combination will only decrease the performance of both interfaces.