It depends on what you personally want. Do you want a heastsink for overclocking or do you want a heatsink that reduces noise? Also remember, buying a 3rd party heatsink, voids the warranty on your processor. One last thing, the heatsink/fan that comes with your processor is designed to cool your processor properly - you should only want to replace it if you want to over clock or reduce noise.
If you do buy a replacement heatsink/fan, make sure it at least has a copper base. Aluminum stinks as a heat disappator. Also, you should be aware of the weight of some of these heatsink, they exceed what your motherboard can officially hold. While your motherboard should be able to hold it just fine, you shouldn't be moving you case around, if you have a heavy heat sink other wise it may break your motherboard or processor.