In almost all cases the heatsink with the thin fins will perform better than the heatsink with the thick fins. There are many other factors to consider, but if everything else is equal thin fins work best. Thin fins allow the heatsink to release heat more easily than think fins. Also, Thin fins allow for more fins to fit on the heatsink base for increased surface area. In most situations the more fins a heatsink has the better the performance will be.
More fins equals more surface area to dissipate heat.
However, at a certain point too many fins will restrict airflow, and performance will suffer. Heatsinks with more powerful fans can afford to have less space between fins before performance starts to decrease. Heatsinks with less powerful fans require more air space between fins. The heatsinks performance will benefit from more fins as long as there is enough room for air to move smoothly through the fins. CFM is a measure of the amount of air that a fan can move.