The best compounds conduct heat over twice as well as the others, but rarely do you need anything special unless you're overclocking because the layer of compound is so thin, meaning it doesn't offer much resistance to heat flow anyway.
Silicone grease or oil has commonly been used because it's inert to almost everything, but the only reason for the newer non-silicone compounds is to avoid contamination of circuit board cleaning equipment, something of no concern unless you're manufacturing boards.
About the only compounds I'd avoid would be the runny ones, like Dow DC4.