Some people say you are preventing a radiator from transmitting heat to the air and surrounding area when you cover it. Other people say that because the hot air coming off the radiator goes straight up, a bare radiator is an ineffective way to heat your house.
Radiators do circulate some hot air around the room, but the majority of the heat is transmitted via radiation. Because most radiators are on the outside walls of a house, a lot of the energy is wasted warming an exterior wall. Many sites suggest insulating the backside of the radiator with a foil insulation to reflect the radiant heat back into the room. This is a smart thing to do even if you are not going to cover your radiators. If you plan to use your radiator cover as a shelf, some people suggest lining the underside of the cover's top with this insulation to keep it cool.
Radiator cover efficiency
Benefits of covers
There are many different types of foil insulation, but ideally you just want something with a foil coating and a thin insulation backing. I actually got my insulation at Lowes, but I really like the selection at insulation4less.com
Excellent selection of insulation types
Foil bubble Insulation