the thermal compound allows a better thermal conductivity between the cpu and the heatsink of the cpu cooler. A good thermal compound has better conductivity, allowing more heat to transfer from your cpu to the fins of the cooler.
The artic silver 5 or artic mx-4 are good brands, however, the one at microcenter is a 12g size which is too much for just one application. I would search other websites and get a 4g one which will be ~$5-10.
The CM evo is much better then the stock cooling and can be about ~25c cooler and quieter.