Personally, if I *have* to use a thermal compound, I use Arctic Silver. Have for, damn, at least 10 years now? Works great as it has silver and ceramic particles in it, so it has much better conduction than your standard white goop. As a bonus, a little goes a very long way. (My original tube last several years and about a year ago when Radio Shack was closing, I got 5 packages for $1 a pop, so I'm set for life basically!)
Arctic Alumina also works well and is a bit cheaper. They also have thermal epoxy versions, which I actually use way more often than non-adhesive compounds. (It's great for attaching those small square copper heat sinks to things like the SoC on a Rapsberry Pi or U800 on a Tek 2465B.)
Now, why do I rarely use thermal compound? Because it's messy and an enormous pain in the ass. I restore a lot of vintage test gear and, as a matter of course one of the first things I do is remove any transistors attached to the case or a heat sink, throw away the mica insulator, wash both surfaces with a degreasing dish liquid and dry with 91% Iso to remove the thermal grease.
Then I reattach the transistor to the case/heat sink, only instead of using a new mica insulator and thermal grease, I use these amazing little things called Sil Pads! They're these grey, flexible, rubbery little pads made out of silicone rubber with a fiberglass weave to provide reinforcement. When the device is tightened against the heat sink, the pad is crushed between the two and because it's silicone rubber, ends up filling any small scratches, voids and unevenness in the metal (the role thermal grease would normally provide). The silicone also provides heat transfer (initially 1.1c-in^2/W, improving with age) and electrical isolation.
It's the ultimate solution, really. You can get TO-220 versions new on DigiKey or eBay, and I've found that, since they're a bit oversized they'll fit similar package sizes (you can trim them with scissors if needed). TO-3 versions can be found as New Old Stock on eBay. You can also buy raw 10"x10" pads there as well. I keep these on hand for odd packages, like those smaller versions of the TO-3 package; I recovered a mica insulator from one and use it as a stencil to cut them when needed. (One of these days I'll scan that insulator and draw it in some vector software, then use my digital cutting machine to make a stack of them out of the Sil Sheets.)
You can also find ceramic insulators for TO-220 packages on eBay. Not sure how well they work as I've never used them. They're quite thick, too.
As an aside, I recently parted out an old Fluke Voltage Calibrator from the late 60's (this one had early 80's date codes on the parts). Anyway, the voltage reference card had an oven on it, made from 1/4" metal plates. They stacked about 6 of these plates; the first 4 had the centers cutout and the top 2 were solid. Two 25W 500Ohm metal Dale resistors screwed to the top and acted as the heater.
Now, the whole thing was bolted to the PCB, with the components to be ovenized in the middle of it. However, it looks like Fluke had absolutely *filled* the center cavity of the oven with thermal compound, so that it completely covered all the components. When I opened it, it was like pulling apart a 40 year old Twinkie. Most of it had long since dried out, so it was either in hard clumps or dust form. The only part still in the original state was what had oozed between the plates before the assembly was tightened (I guess this kept it out of the air and fresh).
In the long run, I'm not entirely sure how effective filling the cavity with thermal grease was, compared to just letting natural convection work its magic.