A good water cooling kit is not dangerous at all if installed correct. If you plan on overclocking your CPU to high speeds then water cooling is the best option by far and is also in most cases a quieter option to. I like air cooling just because i like the look of the coolers but its all down to personal preference, cost, noise and level of overclock you plan on doing.
Cheap closed loop water coolers are often no better than high end air at the same or lower price. High end custom loop can do wonders, but you should read the water cooling faqs and educate yourself furthur first. Look at some benchmarks and consider how many components and how often you will be changing the configuration. WC is often a labor of love, but it stays with you through many builds.