A short question that requires a long answer...
First, there's the straight water cooling rig, that we're all familiar with.
Then, there's the evaporative cooling (a.k.a "bong") which works by transfering heat from the water straight to the ambient air (more details, if interested).
Then, there's phase change.
It works by transfering heat at the boiling point of a liquid. A compressor then reforms the gas into a liquid, which passes through a radiator to cool, gets heated up again (from the heat source), and evaporates. and the cycle goes on.
The trick is that phase change is most common with refrigerants (i.e. R-22, R-134, propane
...), because the boiling temps are closer to what's useful for our purposes (among other reasons).
After that, you have to consider the following: do you use a modded setup to cool the coolant and run a normal loop (i.e. the #Rotor dehumidifier mod) or do you refrigerate the electronics directly (like Vapochill products do)?
If you decide to cool the coolant (aka water), then you have a water chiller. You could use Pelts (aka TEC, Thermo Electric Junction) with it, or by themselves. The issue here is that TECs draw a lot of power (a refrigerator/compressor is much more energy efficient), and you'll need a hefty power supply.
If you phase cool the CPUs directly, then you're in for a custom made setup, and you'll need a few tools, some patience, and as much knowledge as you can get your hands on. It's not easy, by any means, and you have to be aware of the dangers (i.e. the high pressures involved, and the nature of the refrigerant).
Check out Bowman1964's work, and run some searches right here: it's out there.
I have a TEC chiller myself, but I'll be using it for the testbench (a TEC chiller gives me more control over the temperature).
Good luck!