The first question would be: how much is your budget? You can OC an i7-930 to 4GHz. You can also OC an i7-950 and an i7-980x to 4GHz, but they come at different price points.
If you're new to computers, I suggest you stay away from liquid cooling until you have enough research. LC kits like the H50 and H70 typically can't match the performance of a custom watercooling loop, and they only work for the CPU. Besides, there are good air coolers out there that can let you reach 4GHz, like the Prolimatech Megahalems and Cooler Master V8 or V10.
The i7-860 is an LGA1156 part, so if you already have an LGA1366 motherboard (which is only compatible with i7-9xx series), the i7-860, 870, and 875K are out of the question. The i7-860 supports HT like the 9xx series, but only has a dual-channel memory controller, and less lanes of PCIe.
The i7950 is a better chip than the 920/30 because it has a higher clock speed. In theory this means you will have more head-room for a big overclock. But it is possible to buy a 930 which will overclock better than a 950, it is just the luck of the draw. Believe it or not every CPU chip is different!
I would wait until February TBH, a buch of new motherboards and CPUs will come out at the beginning of 2011.
If you are new to OCing as you state, I strongly suggest that you spend a lot of time here, reading posts on OC. In addition read a lot of articles and guides on OC (also available here).
I was in your situation last year when I built my computer based on the i7-920 CPU. After the build, I started reading about OC, and posts here. Spent about 50+ hours on the subject. At that point, I was confident enough to try it in a systematic manner; OCing in gradual steps just as the posts and guides recommended.
My current OC is 3.82 GHz on the i7-920 CPU (air cooling) - factory speed 2.66 GHz. Idle temps around 26 degrees C.
Yes you should definitely have fun OCing, but first read a lot about it. Good luck!