if you've pull the lever open it should come free. however, it is possible that your thermal compound is creating a suction on the processor and is holding itself there (i used to get that with my sempron). the only real way to remove is to twist it left and right while gently pulling until it budges. the first time this happened to me i pulled and managed to pull the cpu out of the socket with it still stuck to the heatsink.
also, im sure that there are some thermal adhesives around which permanently bonds the cpu and heatsink, so be cautious