Copper has almost twice the thermal conductivity as aluminum allowing for faster heat dissipation. Aluminum has over twice the thermal capacitance as copper. However, that really only effects the transient state, not the relative steady state conditions that computers normally run. Aluminum is much easier to machine and is normally just extruded. Copper, being a soft metal, is a bit harder to machine. This is probably the reason for the price difference and relative abundance of aluminum heat sinks.