I didnt switch to water for any need of better cooling, if thats what your wondering. I largely did it because it was interesting and is fairly unique.
Whether it was worth it, depends on what angle you take. In terms of absolute performance, you cant get better than custom water until your actively cooling components using Peltiers or LN2. Terms of price/performance, oh god no. In terms of sheer awesome, water is pretty up there.
Whether its worth pursuing is largely up to you.