Water = not as cheap, much more complex, far better cooling.
I would say that if you plan on running the chip for longer than 3-4 months at 1.7V or better (say >45C under load) then investing in an H2O system would be a wise move. Otherwise, stick with the simpler and far less expenive air coolers. Either way, buy quality components.
They have some pretty cool water cooling kits availabe now that are simple to setup and will work much better than any air cooled system. If you got the money and the room in yer case, it's the way to go. heres the one I just bought, Aquastealth. Plus then you can tell everyone that your computer is so fast it has to be watercooled! grin.