the smallest ones are for memory chips, they are about an inch and a half by 3/4 inch.
like on a video card, i wouldn't bother with putting them on sticks of ram.
and now a days you cant put them on most video cards.
the slightly larger one about 2 inches squared is for the southbridge. this chip really doesnt need a heatsink but it wont hurt.
again the slightly larger one, 3 inches squared is for the northbridge. ive had motherboards die because the north bridge got to hot so this is defiantly an important one. but much less now that so much is integrated onto the processor. memory controller for example.
if your wanting to know more. tomshardware has done over the top, too much info like articles on heatsinks.