I've heard of sumbersion, but not in water like you're talking about, rather an oil of sorts, but I can't remember exactly what was used. I don't think you'd be able to get the heat to transfer out quickly enough, but I could be wrong. I'd check and ask around at places like
[H]ardForums,
XS Forums, or
OC Forums.
The main issue with your theory is where does the heat go? Well, yeah, it goes into the water, but the heat in the water needs to be disappated somehow, and I'm not sure the average bathtub is going to cut it. Second thing would be the sealing. Unless you're using 100% H2O, if the seal breaks, you're screwed. Water doesn't conduct electricity, but the impurities in the water do.
As far as overclocking for cheap, I'd look into a copper cooler from Thermalright or ThermalTake. For the Athlon 64's, Thermalright's XP-90 or XP-90C (C for Copper instead of aluminum) runs around $30-40 online....and it's a helluva lot safer. Personally, I'd suggest investing in a decent air cooling solution instead of trying the idea you're looking at.
If you still want to test your theory, go ahead, but I'd suggest using a cheap-o PC that isn't a loss if your experiment goes south.