You should also know that applying too much paste is just as bad as not applying it at all or applying too little. You should google around for thermal paste application methods, but there are generaly 2 "schools" of thermal paste application - one advocates a thin line accross the center of the CPU heat-spreader (the CPU, basically is much smaller than what you see. The metal cover on top of the CPU core is what you see and is called the heat-spreader). If applying a thin line of thermal paste, the heatsink is supposed to press it down and spread it out over the CPU. Also the heat from the CPU should help the paste spread more evenly under the heatsink.
The other method is applying a small drop of paste to the center of the CPU and then spreading it with a flat object (like a credit card or such) into a thin layer over the entire CPU heatspreader. Both methods work fine even though the actual source of heat in a CPU is under the very center of the heat-spreader.
It's up to you to chose which method you like better, but it should also be noted that the full "capacity" of the thermal paste for transferring heat is never achieved instantly. On Zalman's heat paste (the one distributed in small bottles) it even states that you should allow the paste to "settle" for a full week under normal usage conditions before it will realise its full potential.
As for types of paste, this is also debatable, but the general rule is go for the well-known manufacturers. All in all, the subject should (like most other things concerning computer assembly, components, etc. - IMHO) be throroughly researched before taking action. (also IMHO). (just on a side-note, I've been building computers for about 10 years now. Never a single burned CPU though, although I did manage to kill a motherboard with a screwdriver when taking off one of those horrible old AMD coolers)
And one last thing: if at all possible, NEVER leave the heatsink manufacturer's pre-applied paste on a cooler unlesss you really, really, really don't want to bother with applying paste yourself or you don't have any. Those are usually really bad (I can't forget the intel's box coolers with that almost rubbery 3mm thick dark gray muck they put on them that doesn't really work well either)