People are usually referring to "thermally conductive" and not "electrically conductive" paste. Right now Artic Silver is the most popular because it is an efficiant heat conductor without being electrically conductive. Yes there are electrically conductive pastes. At one point Copper Paste was the rage but one misapplication and ZAP!!!!
dkozloski is right that not using paste can be fatal since the heatsink and slug are never perfectly flat.
Windogg