More expensive RAM comes with heat sinks. If it runs at a higher frequency(800mhz plus) or if you plan on OCing it is worth it. If nothing else it protects your investment.
I believe copper is best, but don't quote me on that. You see more copper heat sinks and what not used that aluminum ones, at least from what I've seen.
I think it kinda of up in the air, if your running 1 stick I would say heatshields are cooler, but if you have 2 or more on some boards the ram slots are so close togather the heatshields almost touch in the middle, so you know theres not much cooling going on there! But all of mine have shields, who knows! I think they just put them on top dollar ones because they can justify the cost