Scientifically, the thermal conductivity of a substance is proportional to the substance's conductivity (thermal phonons). In this regard, gases are poor, water is good, metals are awesome. Then there are the exotics like nanotubes or other carbon variations.
Any metal conducts better than ceramic, which is not conductive at all. Silver used in silver-bearing pastes is done for this purpose. Silver is an incredible conductor, so is gold, copper, aluminum and platinum. However, those are not usually in the form of liquids.
If you are wondering, the differences in temperature of the Ivy and Sandy bridge CPUs is exactly due to Intel's switch away from soldering the CPU die to the lid. That solder is a metal alloy of tin and some other metals which melts at a couple of hundred degrees, same idea as the woods metal, etc, etc (there are many formulations used, some are unique to be given names). That solder used conducts FAR better than the paste Intel used in the Ivy bridge, which gives rise to large temperature differences although the TDP is lower in Ivy. This has been reproduced independently at many places on the web.
Another example is when people measure the CPU die temperatures when IVy bridge CPUs are delidded, and a new paste is inserted. The liquid metal types are always on top, and very close to the Sandy bridge temperatures.