Fry's sells Arctic Silver, both grease and epoxy.
You can use any super glue, but the gel kind is more convenient and less likely to run down into the socket. However it's smarter to use silicone rubber sealant because it withstands heat much better, sticks well (better than thermal tape), can be sliced through if you ever want to remove the heatsink, and, unlike super glue, is commonly used as a thermal conductant in monitors and power supplies.