If you go with a custom built machine from places like ibuypower and the like, make sure you pick out ALL your components and research them thoroughly. Don't get a pre-built newegg/tiger direct rig, because they will use some very.....very cheap components to keep the price down.
Buy a cheap pre-built, you will have crummy ram, psu, and probably mobo.
edit- you can get closed loop water cooling sets. intel now has one, and zalman just dropped one. They are both for cpu only and I myself will be using one instead of air for my next build