Any grease or oil will improve thermal conductivity substantially. A tube of clear silicone grease from the NAPA auto store is probably as good as any other clear grease, but it's the loading with various fillers that really improves the stuff and makes it "thermal grease". I would never put a clear grease in my projects, only something like Dow 540 (going from memory on the number), or Thermalloy grease. The auto stores usually sell white thermal grease for use with sensors, and there's nothing wrong with that either.
Aluminum powder may be a better heat conductor than any oxide but it is also conductive. For parts that have high voltages on them like an OP stage of a power amp , the oxide might be a better idea even though you have an insulator like mica inbetween. Case to heatsink capacitance will also be higher.
Things to consider, thanks.
I remember briefly testing it's conductance...40v dc @ 2 amps, probes embedded in the ....silicone mixture about 1/4" apart.....with an current meter in the path. Showed no reading.
In a pinch, I would use high vacuum grease from my chem lab. Its from dow (i believe), and is used to grease the joints between pieces of glassware when they are going to be evacuated. It is clear, I would assume quite pure (inert), and has a very high melting temperature (300+Celsius?). I measured no conductance across a small distance.