Thermal performance depends on the quality of the interface, and the attachment method affects the interface if external pressure on the heat-sink assembly is absent. The clip is by far the most popular heat-sink attachment method. The stamped clips fit over the heat sink between the fins and attach to holes in the board or to protruding features on the IC component or socket. Clips apply a preload to the interface material, which generally helps thermal performance by eliminating air pockets. Make sure that the clip holds well enough that a heat sink doesn't dislodge during shock and vibration.
Clips are also removable and relatively simple to install and sometimes help to align the heat sink.
The one drawback of using a clip is that you must design in the attachment features. Also, once you complete this design, you probably don't want to change it for the life of your product. Sockets with multiple attachment features and clip standardization by manufacturers address that concern, however. For smaller heat sinks, a pressure-sensitive adhesive or epoxy that attaches the sink to the component case works well. The gold and the release agents inhibit the adhesive action.