Watercooling is the next logical step up from standard aircooling. However, you do need to answer some questions for yourself to determine if watercooling is the route you should take at this point or upgrade to a better air cooling solution (new CPU cooler, better case, better fan arrangement, etc.). This is important to determine because, to make the difference between what you have now and what you hope to obtain, it might involve a substantial investment in watercooling. You see, the low end of the spectrum (as far as watercooling setups are concerned) do not perform that much better than some of the high end air cooling solutions. So, if you plan on o'clocking and want to maintain closer to ambient temps than aircooling than you may have to invest $$$ - the larger the investment, the more you want to cool.
So, let's assume you have a peaked interest in watercooling.....
My advice is to not start out too big (i.e. HDDs, ram, northbridge, PSU) and stick to CPU and GPU since this is your first foray into liquid-cooling.
If you do plan to o'clock than you'll need to decide if you are going to o'clock both components. Assuming you do than there is a point to consider - when you o'clock two primary components like the CPU and GPU know that you are creating two focal points of abnormal heat generation. In a cooling loop, it is advisable that you do not have one waterblock feed into the other without doing something about the heat. Since the primary method of heat dissipation is the radiator than that means a safer cooling loop would have radiators after each waterblock so that one block does not have to suffer the heat from the other. Understanding this would have a cooling loop looking somehting like:
reservoir - pump - cpu waterblock - rad - gpu waterblock - rad - back to reservoir
Mind you, this is just a suggestion if you intend on o'clocking both the cpu and the gpu. In order to avoid having to add the northbridge to this loop it is extremely important that you have good airflow in your case as placing a waterblock on the cpu will remove any influence a CPU HSF woudl have blowing air on the NB in standard aircooling setups.