A heatsink is used to disippate heat released by CPUs when they are running. The better the heatsink + fan combo, the faster heat gets release, and the cooler the CPU is.
What you want to buy is quality, not volume. Anybody can get volume by producing fans that spins at insane RPM, but do you want to live w/ a constant landing stripe in your room. With that said, lets take a look at some quality heatsink and fan makers.
Thermalright SK-7 = $20
Thermalright SLK-800A = $35
They are currently the top dogs in the heatsink market, at affordable prices, with all Cu construction. Uses three pronged type heat sink clip so it'll fit on all socket A mobos. While you might heard of other companies like Swiftech, Alpha, or even ThermalTake, their products are either too expensive (Swiftech), aren't compatible w/ all socket A mobos because of different mounting sytem (Alpha), or simply inferior (ThermalTake).
In terms of fans, for heatsink or case, you want something that puts out a good quantity of volume, but at a reasonable low dba. For the case, you want something that's not too loud, but moves enough so the temperature inside of your case is no more than 10C higher than room temp. As for the heatsink, you want something w/ higher airflow, but not too much, since you'll approach deminishing return at a certain point. You'll know you're getting good cooling when the core temp is some where between 40C - 45C when load. Panasonic Panaflo fans has always been a favorite due to it's near silent line of fans that gives out good airflow. Another choice would be Vantec Stealth fans. These produce more volume than the Panaflo fans at the same dba, but are a bit more expensive. But if you're on a budget, Sunon fans are not bad either.
Besides the regular fans I mentioned, there are those w/ lights and thermal probes built-in to regulate the fan speed, which are nothing more than useless add-ons to increase the price of a plain old fan. But that's just me.
Another point I want to add is you'll also need a good case to work with. The Antec/Chieftec line of cases are affordably priced yet out performs those at 2 to 3 time the price. Regular models accept 2 intake and 2 exhaust, 80mm fans. Some new versions allows you to add another on the side window near the PCI/AGP slots.