Closed-loop watercooling kits are available that can give some high-end air coolers a run for the money. It seems as though Corsair has the largest selection of units here, but Antec and Thermaltake offer some good options. A DIY water cooling option can also work, but it requires a bit more money and time, even if you get a kit from say, Swiftech or Danger Den, there's a lot that goes into the assembly.
Some of the closed-loop water cooling kits don't seem to be any more complicated than some of the high performance air coolers. Arctic Cooling has some inexpensive mid-range coolers that are a great value for the money, however brands like Noctua and Prolimatech offer even greater performance.
You can spend well over $100 for the cooler plus fans in air cooling, but also find something that beats out the stock cooler for $20-40. Closed-loop water cooling kids start at $60-70 and go up.