Thermal grease (also called CPU grease, heat paste, heat sink compound,
heat sink paste, thermal compound, thermal gel, thermal interface material,
or thermal paste) is a thermally conductive (but usually electrically insulating)
compound, which is commonly used as an interface between heat sinks, and
heat sources (e.g., high power semiconductor devices). The main role of
thermal grease is to eliminate air gaps or spaces(which act as thermal
insulator) from the interface area in order to maximize heat transfer.
Thermal grease is an example of thermal interface material.

More info - timtronics.com