Thermal Pads (also called thermally conductive pads or thermal interface pads) are a preformed square or rectangle of solid material (often silicone-based) commonly used on the underside of the heatsink to aid the conduction of heat away from the component being cooled (such as CPU or another chip) and into the heatsink.
Besides thermal pads and compounds are used to fill air gaps caused by imperfectly flat or smooth surfaces that should be in thermal contact.