The Thermalright SLK800 and SLK900 test out the best interms of cooling effectiveness (°C/W) of all the heat sink/fan types, and are on par with water cooling if you use a powerful enough fan (see
Overclockers.com).
Overclocker's SLK800 results, for example, gave a value of 0.23°C/W. This means if you are running your CPU overclocked to the point where it puts out 85 watts of thermal energy at 100% CPU output (easy enough to calculate... PM with your email if you want a simple Excel tool to calculate this), then you can expect the SLK800 to keep the CPU temperature within .23°C X 85W = 19.6°C of ambient (case) temperature. If your case temp is at 26°C, then your CPU (at 100% output) would be at 45.4°C.
For paste, I like Arctic Silver III... others seem to like Arctic Silver Cer'amique
http://www.arcticsilver.com/arctic_silver_compounds.htm