With a bigger emphasis put on power consumption and thermal output, today's processors are considerably more efficient than those released a few years ago (arrgh, Pentium 4!). And while the biggest drivers for these improvements are the trend towards mobility and 'greener' computing, overclockers have also benefited on the side with CPUs that can potentially scale better without becoming as limited by the tremendous heat output produced.
In the old days, Thermal Interface Material (TIM), also typically referred to as thermal grease or thermal compound, used to be a critical factor for getting the most out of a processor and an after-market heatsink. Today, that hasn't changed much other than you can usually achieve pretty good results without being as extreme as before. That said, the guys at Benchmark Reviews have tested a staggering 33 different TIM products, which should pretty much cover your basis next time you are looking into cranking that CPU of yours to the max.