Materials that allow heat to pass through them easily are called good conductors of heat.
Metals like copper and aluminum have the highest thermal conductivity while steel and bronze have the lowest.
As copper is an excellent conductor of heat, it is good for heat exchangers also. Gold, silver, iron, etc are also some examples of good heat conductors as well as electrical conductors.
The reason metals conduct heat so well is that the electrons in them can move around easily, and they can carry heat from one part to another. Metal atoms are packed more densely and can transmit heat vibrations more readily.