(Someone asked this question in another forum. I am answering it under the appropriate topic.)
"Which heatsink should I get for my new AthlonXP?"
There are many heatsinks available. I look for one that has a copper slug in contact with the CPU core, a lot of surface area to exchange heat with the moving air and a fan with high capacity and low noise. A large fan spinning slowly will make less noise than a small high-speed fan when both are providing the same air flow. A 38 cfm 7000rpm 60x25mm fan is obnoxiously noisy, while a 38cfm 80x25mm can be nearly inaudible.
If you do not plan on overclocking, the retail AMD heatsink (very like a Taisol) or almost any other cheap heatsink will do fine.
If you are going to spend a bunch of money on a heatsink and fan, I suggest the Thermalright SLK-800 (about $38 without fan) with a large adjustable 80mm fan. There are many good coolers for a lower price than the SLK-800, but the only ones that match its performance are not cheap. Alpha's PAL-8045 ($35 without fan) and Swiftech's MCX-462+ ($44 without fan) are also very good performers when equipped with relatively-quiet 80mm fans, but mounting the huge heatsinks through the motherboard holes is a pain.
For a good 80mm fan, I like ThermalTake's SmartFan 2, (about $17 with rheostat and thermal control) which is even available with blue LEDs in the "CoolMod" version (about $24). My CPU has an adjustable 80x25 mm Y.S. Tech NFD1281259B-2F fan ($8 including rheostat) that does a fine job on a PAL-8045 without making a lot of racket. If you put something insanely loud like an 80x38mm Vantec Tornado {incredibly-slow flash animation site} ($15) or a Delta FFE on your heatsink, you can get amazing results (though still not as good as a water-cooled system) but the noise level (well over 40dB) is completely intolerable. Even with an external speed controller, the Tornado's bearings are noisier than the Y.S. Tech's.
Short of spending $45 to $65 on one of these three coolers with a high-quality 80mm fan, there are some decent performers available for less. ThermalTake's Volcano 7+ ($38 with fan & 3-speed switch) comes with lots of thin skivved copper fins to provide plenty of surface area and a 3-speed 70x25mm fan. The Volcano9 ($25 with fan, speed control and thermal control) has a decent number of thin aluminum fins on a copper slug with an 80x25mm SmartFan 2. Under $25, there are even more coolers from which to choose. CoolerMaster probably has the largest selection of inexpensive heatsinks. Some of them do pretty well for under $12, including fan.
Finally, most heatsinks come with pre-applied heat transfer goop or with a small tube of standard white silicone heat transfer paste. (The SLK-800 does not). The white goop works fine. The premier heat transfer paste for overclockers is Arctic Silver. A $10 tube of Arctic Silver 3 will last through 50 or more heatsink installations.
Here's a previous thread where we discussed most of the heatsinks mentioned above:
http://www.tech-report.com/forums/viewtopic.php?t=1871
If you haven't already, you should read Dan's CPU Cooler Review that Ate Sheboygan as well as his CPU Cooler Snap Judgement Guide.