It's not about fun but yes, it can be expensive, especially if you don't do it right and fry something, like a CPU or mobo.
The pelt itself is only about $30, but the power supply can run up to $200. Then you need a cold plate, clamp it to your waterblock, etc...
Usually though, the gains are marginal. There are a lot of obstacles to higher speeds, beyond a cold CPU. Mobo design is one, memory is another. Also, a vid card cooler is the next step, because what's the point otherwise?
Many have tried many have failed, and some would never do it again. So if you've got the time, money, and the patience, then go for it.