There are actually two kinds of water cooling people: the DIY'er and the "parts buyer" (although the first involves a lot more shopping
).
Either way, the temps that you get are substantially lower and the noise too, with any basic watercooling. The biggest benefit shows up when the CPU is in heavy usage: the temps will be much lower than an air cooled solution.
As for the cost, like I've said many times, no one can really justify it, unless one can put a price on "peace and quiet", but the CPU will live longer, not that that matters, unless it's overclocked, in which case, you can simply calculate the price difference between the stock CPU equivalent, and what you bought, sort of.
As for phase change, the tooling required can be expensive, and I'd only recomend it to those who understand it well, otherwise the effort is going to be expensive, never mind dangerous or aggravating (in some cases).
It is also a hobby, which justifies the expense all in itself.
