Is there a cheap thermally conductive, electrically insulating potting compound?
Just about anything will have better thermal conductivity than air. That's not the whole story though, since most of the cooling in air will typically be from convection. 

Typical potting compounds are available from suppliers such as Hysol. If you need guaranteed electrical characteristics, that's a good way to go, but they're often not that easy to source, and it's expensive to buy a 4l or gallon size can. As Eternity said, the dimensional change during curing can rip parts off the board or place them under great stress so they fail very soon with thermal cycling. 

Clear silicone (depending on the type) can have highly corrosive (and conductive) acetic acid in it (some types do not). It's not all that good thermally (2 or 3 times worse than epoxy), but it can seal against moisture and is available in translucent. Do not use the acetic acid type on electronics. 

Your best bet may be to use a minimal thickness of conformal material such as silicone rubber thermal pad to transfer the heat to an aluminum heatsink.



There are a wide range of these available, with varying prices and performance (including some that are anisotropic- they are more thermally conductive in one direction than another).