Here's why:
* Mercury: Mercury is a metal and metals are generally excellent conductors of heat (and electricity).
* Alcohol: Alcohol is a relatively poor conductor of heat. It's better than oil, but significantly worse than mercury.
* Oil: Oil is a very poor conductor of heat. It's often used as an insulator because it resists the flow of heat.
Important Note: While mercury is an excellent heat conductor, it is highly toxic and should be handled with extreme caution.