On the new 45nm cores, you probably won't notice a huge difference water cooling.
You might water cool your NB to help with high FSB speeds if you go over 450ish, but the CPU will be humming along happily with a nice air cooler. In other words, if you try to clock it to 4.5GHz (9x500) then you will want to get some active cooling on the NB and VRM, but honestly the CPU will probably still be within spec. These things run exceptionally cool. Remember that the 45nm chips use considerably less voltage to reach the same speeds, so there went your biggest reason to move heat. A nice TRUE-120 should do the trick. I really think with the Wolfies, you'll reach the FSB wall long before you hit the CPU thermal limits.