The design of the heatsink and the airflow through its fins are the major performance factors. The color is simply a preference. Buy the one that looks cool. 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.