I have noticed not a lot of people around here watercool their CPUs. My friend bought the corsair Hydro H50 and was bragging about how great it is- and Quiet (which is a joke, because he runs 2 ATI 5870s).
Well this performance chart tells me:http://www.legitreviews.com/article/1025/6/
It's pretty much not any more effective than a really good air to air cooler, and costs a lot more. They gave it a "value award" which is Ironic because at $80 it's more than double the price of a couple Xigmatec heatsinks that would give it a run for it's money. And it's similar in price to the Noctua that beat it.
In addition, the pump is fairly loud, and there is more that can go wrong with a water system.
I may be missing something, but it does seem like it's not worth the time.
ETA: I guess the difference is a small self-contained unit isn't going to be that great, but a serious dedicated watercooling setup could be worth it in some circumstances.