A CPU shim (also called CPU spacer) is a shim used between the CPU and the heat sink in a computer. Shims make it easier and less risky to mount a heatsink on the processor because it stabilizes the heatsink, preventing accidental damaging of the fragile CPU packaging. They help distribute weight evenly over the surface.
CPU shims are usually made of thin and very flat aluminium or copper. Copper has good heat dissipation capacity but is electrically conductive. CPU shims should be non-conductive to prevent any accidental short circuiting. Aluminium shims are often anodized, which makes them non-conductive and improves their appearance (see case modding). It is also very important that the shim is the proper thickness. If it is too thick then the heatsink will not make contact with the CPU, resulting in poor cooling and possibly overheating.
Most shims are CNC manufactured, often using laser cutting. Cheaper ones may be pressed or stamped which could make them less accurate.
They can usually be bought for less than USD$10.
Read more about CPU Shim: Usage