Personally I've had experience with both air cooling and liquid cooling for my CPU, and I think the difference between the two is fairly minimal. With my old £20 Cooler Master Hyper Evo 212 (air heatsink) I was getting around 30 degrees C idle and 55-63 degrees C on load. I decided to go out and buy myself a Corsair H60 liquid cooler to get even lower temperatures (admittedly the Corsair H60 isn't the highest spec liquid cooler in the world). Anyhow, my temperatures barely changed with liquid cooling. On idle I now get 28-30 degrees C, with 50-55 degrees C on load. Considering the liquid cooler was £60, the difference in cooling compared to my old heatsink made the purchase pretty worthless. I've even mounted an additional fan to my liquid cooler's radiator for push-pull configuration and it's still not that great.
Personally I think if you have the money then go for liquid cooling. The lower temperatures will allow you to overclock more and the CPU will live longer with efficient cooling. However, if you're on budget, go for an air cooler. You'll be sacrificing a small amount of cooling, but the value for money is better in my opinion.