I always thought it would be cool to setup water cooling and run the tubing through the wall and have the radiator outside.
+1 more to repeat what everyone else has been saying: Fans and water cooling do Not create cold. They just move heat from one place to another -- in this case from your GPU to your room.
Also as far as heat output from AMPs, the sound energy is fairly negligible. The majority of the energy is converted to heat, and of course it scales depending on the volume setting.