I have been a big fan of the arctic silver 5 for well over a decade in building and computers. For general purpose cooling (up to about 125w) I highly recommend it. For 50w or below, the cheap thermal greases are usually more than adequate. Anything 150w or higher, especially cooling critical components like CPU's, I would recommend looking into a ceramic based compound (like Céramique). If you are an extremist looking to cool a component in the most extreme way, you can even find diamond particle based compounds like the Innovation brand "7 carat". Hell, some people have made their own version of this: hackaday.com/2009/08/03/diamond-thermal-paste/
If you are wondering about any particular brand or compound, just google the name to find a ton of places that do a side-by-side shootout between it and many others. Working in IT for the last decade I have always used Arctic Silver 5 for all of my standard system builds with confidence and no issues (if you do it correctly). For oddly placed components without a way to properly mount a good heatsink, I have used the ceramic based thermal glue Arctic brand "Alumina".