Water is best for cooling. The reason water is best is because of it's specific heat capacaty. Specific heat capacaty is a measure of the amount of heat energy that must be absorbed by a given amount of a substance to raise it's temp by a certain number of degrees. In a liquid cooling system we pump a cool liquid into a heat exchanger where it absorbs heat until it's temperature is equalized with the heatexchanger. Then we pump that heated liquid away to a radiator where it is once again cooled and goes back through the system. Anyway, the amount of the heat the liquid can absorb will be dependant on how cool the liquid is when it's pumped into the heat exchanger and it's specific heat capacaty. If your cooling the liquid with a radiator, which is cooled by room temperature air, then the liquid won't go below ambient temperature. So, to get better cooling you need a liquid that has a high specific heat capacaty. Water has a higher specific heat capacaty than most oils. So, all else being equal water will be better.