Conduction' is the primary method by which heat will be removed from your CPU, or other cooled device. Roughly speaking, conduction can be understood as the transfer of molecular kinetic energy between solids. If you stick your finger on a hot boilerplate, the extremely exited molecules in the boilerplate will collide with the molecules in your finger, gettin' them all excited as well, and hence displacing a bit of the energy. Those of you who have been following the industry know that aluminum has also been the primary material for interconnects on chips because of its conducting prowess. You may also have noted that there is a movement towards copper interconnects replacing the aluminum ones.
Copper is indeed a better conductor than aluminum.
The amount of metal needed for CPU interconnects is minuscule compared to the amount one would need to make a pure copper heatsink. The second factor in heatsink effectiveness is, as mentioned above, surface area. The protrusions function to make the exposed surface area many times greater than if the same amount of material was in a solid block. The greater the surface area exposed to the air, the greater the dissipation of heat for a given quantity of metal. The most common form in which the protrusions can be found is a series of rows and columns of thin rectangular protrusions.