Hello, We are at the stage to install the windows and looking to seal the gap between the window frame and window buck. Do you guys recommend any brand for foam? Are all the foam the same in term of thermal transfer? Thank you for any suggestion.

the danger with foam is that it's expansion can squeeze the window so it cannot be opened easily. Use a minimal expanding foam - it might say that on the can, or it might say to use with windows and doors.

As Bob has said low expansion is the safest but also is open cell foam and has half the R-valve. I would be more careful on double hungs then casements and for stationary windows not as much. I always use the regular stuff and just don't fill it all at once, maybe do it in 4 passes over a couple days.

my understanding is that all single can foams are open cell, while DIY closed cell would be from a "froth pak".
In this case, you're not looking for R value, but "air sealing".
I'll also emphasize that while foam does a pretty good job or air sealing windows, you really need to tape the window inside and outside with a high quality acrylic tape for an excellent seal. (tape the window to the interior and exterior sheathing/framing)

I have used Great Stuff Window and Door in the past and would use it again. It is minimal expanding foam, adheres good to window frames and bucks, and stays somewhat pliable after it is cured. And it is readily available and not too expensive for the amount you will need.

DAPtex Plus non-expanding latex foam sealant is pretty good for even the most sensitive of windows:

http://www.dap.com/dap-products-ph/daptex-plus-multi-purpose-foam-sealant/

It's a slow-curing stuff, but it won't even distort a cardboard milk carton, let alone a window frame, and adheres reasonably well, though it's not nearly the gluey-grip you get with polyurethane can foams. It doesn't have the same hard-skinning structure that you get with polyurethane either, so it's best use where /when it's going to be covered up with something more durable within a reasonable amount of time.