Hmm...actually heatsinks should have high thermal conductivity. As you recall, thermal conductivity is the measure of heat flow through a material.
For example, thermal conductivity (W/cm K) of the following materials are roughly:
Air (still) - 0.0003
Wood - 0.001
Water - 0.0055
Thermal grease (metal oxide grease) - 0.007
Glass - 0.008
Titanium - 0.157
Stainless Steel - 0.240
Tin - 0.63
Platinum - 0.734
Zinc - 1.024
Brass (70% copper, 30% zinc) - 1.220
Magnesium 1.575
Aluminum - 2.3
Gold (pure) - 2.9
Copper (pure) - 3.9
Silver (pure) - 4.1
Equation for calculating thermal resistance:
R=t/kA
where t=thickness of material, k=thermal conductivity constant, and A=contact area
So, thermal resistance across a block of aluminum between a processor and air is the sum of:
R across thermal grease = 0.1cm / (0.004W/cmK * 2cm^2)
R across 2cm thick aluminum heat sink = 2cm/ (2.3W/cmK * 6cm^2)
R across air = 1/ (0.0003 * 6cm^2)
These calculations doesn't factor in heat transfer via radiation which usually accounts for 25% of total heat transer, but is less of a factor if there air is flowing since convection is more efficient.
In other words, the temperature difference between the processor side and the air side of the heat sink is minuscule. The important factors would be the interfaces between the processor and the heat sink, and air and the heat sink. So to reduce thermal resistance, use good thermal compounds on the processor side, and good airflow for the air side.