http://www.youtube.com/watch?v=EyXLu1Ms-q4
I prefer to clean the CPU, then wrap my finger in some cling film (this ensures no nasty grease from fingers!). Put a blob on the end of the cling film and then spread it.
It allows you to spread it very finely as you can freely move it about - remember that you only want a reasonably thin amount. You don't need to go insane.
Never liked the card spreading one myself, always found it more hassle than just spreading it about with my finger, but it's purely a preference thing. Modern CPUs and heatsinks don't have a huge difference with thermal paste, a lot of it is marketing.