It doesn't have to be but it depends on how obsessive you are about temperatures.
You'll need a waterblock for the cpu. That's gonna be at least $40 unless you want to try making one yourself.
Depending on your motherboard, you might need a waterblock for your northbridge - another $30
If you currently have a fan on your graphics card, ou'll need a gpu block - another $30
You need a pump to move all the water around. A good pump is going to be another $40
You need tubing. Good quality stuff is around $1 per yard.
EDIT: You're in the UK! For pricing look at www.pclincs.co.uk
. Pricing just went up big time because this stuff costs the earth here.
Get a heatercore from a Vauxhall Nova or spend loads on a "specialist PC water-cooling radiator". Then you can run 120mm fans at 5v which is inaudible.
Take a look at the forums at pclincs or overclockers.co.uk where you will find lots of good advice and UK sources.
Bottom line is that water-cooling can be cheap (cpu cooling only, ex-scrappy heatercore) or enormously expensive.