You've got alot of factors in both water and air cooling to consider.
For watercooling, you can buy a kit, but not all kits are created equal. One of the best kits as far as external ones go is the Koolance Exxos. But in the end, it's best to piece the system together by yourself. But, before you actually install it, you need to test it to check for leaks. Water+your computer=NO. Additionally, many waterblocks require the four mounting holes around the socket to install on a Socket A board. If you don't want that, I suggest you look at something like the Swiftech MCW50-A (-A stands for Socket A mounting hardware). Swiftech offers a kit with everything you need to get it working.
For a watercooling setup you need:
-CPU waterblock. Swiftech and Dangerden have some of the highest regarded waterblocks, but there are some others as well. If you want to watercool your northbridge and/or video card, you can get waterblocks for them too.
-Radiator. If you don't mind an ugly radiator and a small DIY project, you can snag a radiator and weld some barbs on it. However, in my experience with watercooling, it was a hassle to do this, and I wish I'd just gone ahead and bought one.
-Tubing. Tygon is regarded as some of the best stuff there is because it doesn't kink and has a high melting point. If it's melted, you can bet the rest of your system is too.
The bigger the inner diameter, the faster the water circulates.
-Pump. Eheim are considered to be the de facto standard here. They're pricier, but are very reliable. DannerMag is also another good one as I understand. Hydor was a pain to work with, and ultimately the reason I abandoned my H2O cooling setup. You want a good pump with a good amount of flow...I believe 300 Gal/Hr is what you want if you want effective cooling.
-Fans. You need something to get rid of the heat that the radiator disperses. Larger fans are better. As usual.
-Misc items. Fittings and silicone grease. And water addetives to keep stuff like algae from growing.
-Resivoir. This isn't required, but allows for some extra water to be available, and can keep the water temp lower since the heat is dispersed around.
If you want a good setup, budget between $150-200 USD. If you have a good H2O setup, you can have better temps than air with a good setup. Additionally, you can have close to slient computing, depending on your fan choices.
Air. You only need the heatsink and the fan. Top end heatsinks run $45-70.
The advantage here is price. Noise can be a problem, depending on the fan.
There's a few guys here that actually have watercooling in use and might be able to add some actual experience I don't have.