I assume you're referring to TIM. Thermal INterface Material. The stuff that goes b/t two metal parts to promote heat transfer. I.E. b/t a CPU slug and the bottom of the heatsink.
No matter how flat the bottom of the HS may look to the naked eye, it's seldom flat and often filled with small pits that trap air. Air is a lousy conductor of heat. The TIM fills these gaps and ensures heat gets transferred fromt he CPU to the HS.
You ALWAYS need TIM, or dialectric grease! For stock solutions, I.E. no overclocking, the pink pad that comes preattached to a stock HSF will work fine. For anything else, you'd be best served to scrape off the pink pad and use Arctic Silver. Everyone sells it.