Water, as in conventional water cooling, apears to be the best liquid for heat pipes use above freezing. This is due to the latent heat of vaporization. The figures are 2257 kJ/kg for water and 896 kJ/kg for alcohol.
A decent explination here:
"Heat is the transfer of energy due to differences in temperature. Exactly how much the temperature changes due to transfer of heat depends on the material in question. For example, it takes about three and a half times as much energy to change the temperature of iron as it does to change the temperature of the same mass of lead by the same amount. The relationship between heat added (or removed), Q, and change in temperature, ∆T, is given by: Q = m c ∆T where Q is the amount of heat, m is the mass, ∆T is the change in temperature and c is the specific heat of the material. In general the specific heat may change with temperature and will change as the phase (solid, liquid or gas) of the material changes. In addition to the heat required to change temperature, additional energy is required when a material changes phase. The energy per unit mass required to change the nature of the bonding in the substance as it changes from solid to liquid or from liquid to gas is called the Latent Heat, and is given by Q = L m, where, again, Q is heat added or removed, m is mass and L is the latent heat. Latent heat for freezing/melting is called the Latent heat of fusion, LF and latent for boiling/condensing is called the Latent heat of vaporization, LV."
As you can see water can transfer much more heat with the limitation of not being able to go below 0c. Unfortunatly water requires a much lower absolute pressure to evaporate as required, that aside comercial manufacturers report that effective thermal conductivity can range from 10 to 10,000 times the effective thermal conductivity of copper depending on the length of the heat pipe.
A good graphical explination
here