AFAIK water has the highest specific heat capacity of pretty much all liquids. In any case, it is definitely the best liquid to use in watercooling. IPA does conduct thermal energy, but not as well as water. It will lower the freezing point of water however, which is useful only if you plan on chilling your water below the freezing point.
The reason your hand gets cold when you pour alcohol on it and blow on it is because of the rapid evaporation. The same effect can happen with water, its just that water will not evaporate as fast. The change of state in the evaporation is what causes your hand to be cold. Change of state (liquid to gas in this case) requires energy, which is taken from your hand.