If you are planning to build a machine that you will be overclocking and would like to get the absolute best possible performance without making your room hot, then liquid cooling options are the best.
In my case, liquid cooling my video cards and CPU makes it so my max temperature at full load is less than the temperature I was getting with stock cooling when idle. It is also much quieter depending on the fans you use.
The overall downside to it is that it is much more difficult to setup and it can require more extensive maintenance to keep running.
If you don't have problems with temperatures and you don't overclock, air cooling is a better option. It's certainly much easier.
water cooling doesn’t magically get rid of the heat Caruda
... your card or cards may run cooler, but they are still putting out the same watt's of heat