It all depends on your use..
Don't go out and pick parts that you have absolutely no use for.
That's just wasting your money.
As for liquid cooling, there are basically two kinds.
The basic type like Corsair H50 and upcoming H70, built by
Asetek. These are highly similar to the 'watercooling' used in HP
Voodoo, Acer Predator, Dell Alienware etc.
The other kind would be a full custom loop in which you willl
have to buy radiators, waterblocks, pumps, reservoirs, tubing,
anti-kink coils, fans and other things like coolant with anti-algae
(high silver content) and antifreeze.
If you do wish to go into custom watercooling be warned that it
is not cheap in the least way.
Much effort and money has to be spent building the loop and to
get the effects you desire.
Also, don't say air cooling is lao tu. Radiators from a water
cooling loop will still have to make use of fans to cool the liquid
passing thru them, so fans are still an important part of the
system.