Well FabienO, I'll give you my view on water cooling. It may not be all roses and others may not fully agree.
Overall I think water cooling has its place. It can reduce temps and help overclockers reach scary heights. It is also good for those looking for a quiet alternative to air.
My personal view on it tho is if you are going to go water cooling , buy a good kit from say SWIFTECH or DANGER DEN as I consider them to be rated as some of the best manufacturers around as water cooling is there main gig and there focus were as a lot of other companies really only manufacture kits to try and get a slice of the money pie that water cooling is baking. The downside is that there are a lot of shoddy kits out there that really do not perform and are below a decent heatsink/fan and just a plain waste of money. Sure some look good but looks don't keep hardware cool.
Things to consider are the things you want to cool, for example your CPU is a given but you can also cool your video card, chipset and ram as well as some power supplies but I am not real sure on the quality of the water cooled PSU's. Once you have narrowed down what you want to cool have a look at what is available in kit form. Also look at the tube diameter you want as there are a few sizes available and what you get can make your install easy or hard due to the fact that if you choose a large diameter and you have a cramped case you may find that you get kinks in your hoses due to having tight bends.
Look at what the pump can move in terms of liters an hour, you want to be able to circulate coolant at a decent rate ( think mine can move 1200lt/hr )
Decide before you buy what size radiator you can use as there are a few options there as well. Look to see if you can fit in inside your case or if you can mount it at the back external. Don't always think in terms of one radiator either, if you are tight for space you may want to go with 2X 120mm units over a single 240mm and mount one at the back of your case external and then mod your case to accept the other inside at the top and cut a hole in the top for the fan with a trick grill. that way you can pipe a 120mm to the CPU and the other to your video card on the same loop or on separate loops if you wish.
I have had 2 seperate water cooling systems and to date have not had one leak. I think the key is really to just take your time and ensure everything is tight, also think ahead in terms of being able to drain your system when you need to replace coolant or even top up, i have seen people cut a "T" in that is used to drain.
If you have a small case consider upgrading to a full tower, this may give you the room to house everything inside.
check out the swiftech and danger den sites there is some nice stuff available and if the price is not to your liking then consider buying a good zalman heatsink/fan
