There are 4 major types of TIM that are effective for use with CPU:
Thermal Grease: This is very basic stuff. You can usually find this included with low end heatsinks in some small plastic squeeze packaging. It will work, but it doesn’t really perform with a thermal conductivity of less than 1W/mK
Ceramic Thermal Compound: Ceramic thermal compound is a bit harder to work with and a little bit better than the basic grease. Its based on aluminum oxide and boron nitride. Performs at about 4W/mK.
Copper Thermal Compound: Not often used due to the relatively low cost of the silver stuff, but copper is next in line for top thermal conductors behind silver. It is very workable and performs at about 4.5W/mK.
Silver Thermal Compound: Easily the most commonly utilized paste amongst enthusiasts, itcontains particles of silver, zinc oxide, boron nitride, and aluminum oxide in an polysynthetic oil gel. It performs very nicely at around 8W/mK.
There are some advanced thermal solutions such as liquid metal, thermal pads, carbon nanotubes, and phase-change metals. There are various problems with these that make them unsuitable for CPU use. Thermal pads are usually used for DIMMs and other components with stick-on heat sinks. Liquid metal TIMs have a high electrical conductivity, carbon nanotube TIM is still under development and phase-change metal pads simply boils down to performance.