www.tomshardware.com has run dozens of cooler reviews.
www.overclockers.com does cooler reviews.
What you want is the cooler with the lowest thermal resistance <0.4 deg C/W and a tolerable noise level <52dB, at a price you can afford.
WARNING! The thermal resistance changes with the CPU die size/shape so you have to make sure the number quoted is for the CPU you have. Athlon, Athlon XP, Athlon Tbred, Athlon Barton all have different CPU sizes and shape so they will all get different readings when tested with the same heatsink.
If you stay under XP 2500 rating the Volcano 9 has a good combo of features (adjustable speed/noise), price (~$20) and cooling. Prices run from $6 to $70.
High price and fancy designs do not guarantee better cooling.
Fan speed = noise. I don't like anything over 4500 RPM.
The way it works is multiply the thermal resistance in (deg C/W) by the power rating in (W) of your CPU and the answer is the CPU rise in temperature over the air temperature being sucked in by the fan. For a 2500 Barton around 70 x 0.4 = 28 deg C with 25 deg C room temp and good case flow thats a CPU temp of about 53 deg C. The CPU runs cooler when not gaming or making MPEGs. Typically 5-8 degrees cooler.
Bad case cooling, hot rooms, faster processors make temps go up.
Notes:
I talk about Athlons cause that's what I drive. Same applies to Pentiums. Tomshwardware also has an article with a graph of processor vs temperature so you can get an idea of what the temp rise will be fopr a given thermal resistance.
Thermal resitances are usually quoted weith the best silver filled thermal paste applied in the optimum thickness. Spread wisely.