Alternatives to water in your water cooling system
Water has a few disadvantages for a cooling system. Namely, it corrodes and, as a conductive fluid, it can short out electronics. However, there are other options for liquid cooling.
Mineral Oil
Mineral oil is good for liquid cooling, in some circumstances. Its advantage over water is that it is non-conductive. If your waterblock leaks, no problem. It won't damage your motherboard. However, mineral oil is not as thermally conductive as water, and it is more viscous, making it harder to pump. However, you could always just submerge your entire motherboard in mineral oil. Cool the oil by running it past dry ice, and have a pump shoot a stream of cold oil over the processor and GPU. Without a whole lot of trouble, you have a cooling system that will rape normal water cooling systems.
However, you would probably have to mount the mobo inside of a tub of mineral oil, with the drives outside of the tub. Not very convenient for LAN parties. But, then again, you would have cooling just about on par with liquid nitrogen.
Methyl Alcohol
Lastly, we have alcohol cooling. Alcohol has good thermal conductivity, low viscosity, and a low freezing point of -144 degrees F. This makes something possible that you cannot do with water: Cool it down below 32 F. You could run it past cooling coils or some inexpensive dry ice, and get very good overclocking.
Pure methyl alcohol is desirable over other varieties because in the event of a leak, it will not damage computer components, provided the power is off. However, there is one conceivable disadvantage of alcohol. In the event of a complete leak, and an Athlon meltdown, it is conceivable that the alcohol could ignite if it contacts a very hot processor core.