As mentioned above, dielectric grease is meant for electrical connections and things of that nature. It's main purpose, to my knowledge, is to prevent corrosion (by sealing out moisture) and inhibit conductivity. Thermal compound, on the other hand is generally either dark gray, or bright white. It's use is to dissipate heat. I believe radioshack carries it, I haven't seen it in any parts store, though.

 

The best thermal compound is called Arctic Silver and most computer places have it. It's made from mostly silver which is one of the best conductors of heat, it's pretty expensive though.