Are you having cooling issues stopping you from reaching the next step of your overclock and your already using top of the range coolers? Then get water cooling. Otherwise, you'd be wasting money on something you don't need.
If you didn't overclock at all, you should just stick to your stock cooler, if you're thinking about overclocking, get one of the Noctua coolers, or the Silver Arrow with dual fan config - they are the best coolers on the market atm. Just make sure they will fit on your motherboard, as they are a lot bigger than most other coolers.
I'm running my i7 920 (2.67GHz) at 3.8 GHz atm on a Noctua C14 cooler (the D14 is better but won't fit in my case), and I'm only hitting temps of 70 degrees at 100% load. So I can easily take it to 4GHz as well, at least for the winter, but I want to stick to current config cause temps will rise in summer anyway.
So to answer your question, unless you're already using Noctua / Silver Arrow and are hitting high temps with your overclock, there's no point getting water cooling. Get a decent air cooler and you'll be alright.