Larger size means more surface area, which means more ways which heat can escape. This is only a general rule, however, since size isn't the only thing that goes into making the heat sink, and not the only way heat escapes. Larger (or at least thicker) heatsinks need a pretty tough fan to push a proper amount of air through them, since contact with any surface causes turbulence, and thus airflow loss. (That's why static pressure is important!)
Surface area is another reason why ceramic coatings seem to becoming more popular, amongst some other things.
Heat pipe construction, placement, and soldering are also factors to look at to see how effective a heatsink might be at holding/transferring heat.