Depends how much you wanna put down. Water cooling can be great for performance & silence, but will cause you quite the dollar & could screw you over if you mess up & there's a leak. Air cooling is great but is big, the varying RPM fans could be annoying to you, and it might look kinda stupid. As budget coolers go, things like the Hyper 212 Plus/EVO are awesome, for high end air coolers, a lot of people love the Noctua NH-D14 & the Silver Arrow Extreme, and if you wanna water cool, get some parts from Swiftech.
Do they normally leak? Nope. Is it possible that they could leak? Yes. Closed loop coolers are generally very reliable and perform well. However it is still possible (very rarely) for them to get a leak.