I hear you there!
Who wants to say "I have the fastest computer for a $200 upgrade." I like to say "I have the fastest computer I could reasonably afford." ;-)
I too went through some heatsink/thermal grease pains, and my advice is to spread it so thin that you think there isn't enough on it. Basically, put a small dab on the center, and use a credit card to spread it around and flatten it out. You should be able to see the markings on the CPU through the paste if you've done it right. (Assuming you lap your heatsink, if not, then apply just enough so that you can no longer read the markings, but keep it thin!)
You'll be amazed at how much cooler it runs when you're done. I'm running a P4 1.6 @ 2.4, and even though it's usually around 75F in this room, I don't see peak load temps over 50-55C. Idle, I run in the upper 30's.