Thermal paste is a terrible heat conductor. It's only redeeming value is that it is better than air between your CPU and your heatsink.
If you want a heatsink to absorb heat, you need a large mass of metal with decent thermal capacity*. Hence the weight. If you want a heatsink to radiate absorbed heat (e.g. for fan cooling :-), you need a lot of surface area. Hence the finned designs.
Wade.
* My physics in this area is rusty, but IIRC this is why water-cooling works so well.